Spray a 9 x 13 baking dish with Pam. (a slightly bigger baking dish will be better). In a saucepan melt butter, sugar and orange oil. Pour into baking dish and spread evenly. Trim ends of challas, slice them into 2-inch thick slices, (you need at least 8 slices), cut each slice into two. Arrange challah slices in one layer, squeezing them slightly to fit in the baking dish. In a large bowl whisk together eggs, half & half, vanilla, salt and Grand Marnier. Carefully pour over challa slices, refrigerate for at least 8 hours. Let stand at room temperature for 30 minutes prior to baking.
Bake in a preheated 350° oven for 35-40 minutes or until puffed and golden, serve at once.