Whisk milk, cream, egg yolks, and sugar in heavy large saucepan. Add vanilla bean paste (if using vanilla beans, split lengthwise and scrape seeds into saucepan).
Stir constantly over medium heat until custard thickens and leaves path on back of spoon when finger is drawn across, about 9 minutes.
Transfer to large bowl. Stir in the 2 T whiskey. Refrigerate until cold. (Can be made 2 days ahead; cover and keep refrigerated.).
Butter and flour eight 3/4-cup ramekins.
Using electric mixer, beat sugar and butter in large bowl until blended and smooth. Beat in marmalade and orange zest. Beat in eggs one at a time, occasionally scraping down sides of bowl. Beat in whiskey, then flour.
Divide batter among prepared ramekins. Cover each with buttered foil, buttered side down. Place flat rack in large roasting pan. Place cups atop rack. Set large roasting pan over to stove burners. Add enough hot water to the roasting pan to come halfway up sides of cups. Bring water to gentle boil Cover pan with foil and steam pudding over medium heat until tester inserted into center comes out clean, adding more hot water to roasting pan if necessary, about 50 minutes. Remove puddings from roasting pan.
Using small sharp knife, cut around puddings to loosen. Turn out onto plates and serve with sauce anglaise.