Put the cranberries, orange and lemon zest, orange and lemon juice, sugar, vanilla, and 1 1/2 cups of the water in a medium-size nonreactive saucepan over medium-high heat. Bring to a boil and cook for 8 minutes.
Dissolve the cornstarch in the remaining 1/2 cup of water and add to the pan. Reduce the heat to medium, then stir constantly until the mixture thickens, about 2 minutes.
Remove from the heat and cool completely.