Blend the ricotta cheese, sugar, orange and lemon zest in a medium mixing bowl. Cover and set aside. Beat eggs and milk in a wide flat bowl. In a large saucepan or griddle, melt margarine on medium heat. Dip each piece of bread into the egg mixture briefly on each side. Place in saucepan and cook until browned on each side. Spoon about 2 tablespoons of the ricotta mixture onto 5 pieces of French toast and spread. Place remaining 5 pieces of toast on top of mixture.