Preheat the oven to 425 degrees F. Lightly grease a baking sheet with canola oil spray.
Lay a slice of ham on a work surface. Place a stalk of asparagus perpendicular to the ham, with the tip of the asparagus just higher than the top edge of the ham. Roll the asparagus on a diagonal, tightly wrapping the ham around the stalk as you go. (The ham should cover the entire stalk except for about an inch on the top and bottom ends.) Repeat with the remaining asparagus and ham.
Place the asparagus, seam-side down, on the prepared baking sheet and lightly grease the tops with canola oil spray. Bake until the ham is crispy and the asparagus has softened and begun to char at the tips, about 15 minutes. Immediately pour the orange juice over the hot asparagus and season with salt. (The orange juice will almost completely evaporate on the hot baking sheet, but it will infuse the asparagus with orange flavor.)
Transfer the asparagus to a serving plate and garnish with the orange zest. Serve immediately.