Preheat the oven to 350°F. Rinse the chicken and pat it dry. Using a meat mallet, pound each breast to a ¼-inch thickness. In a medium skillet, melt the butter and add the apple and onion. Sauté until tender, then stir in the orange peel and cinnamon. Spoon 2 tablespoons of the apple mixture onto the center of each breast. Roll the chicken up around the stuffing. Wrap a slice of bacon around each chicken roll and secure with toothpicks or bind with cooking twine. Arrange the chicken rolls on a lightly greased broiler pan. Bake for 25 minutes, and then broil 3 inches from heat for 2 to 3 minutes, or until the bacon is browned on top.
While the chicken is baking, whisk the sauce ingredients together in a saucepan until the cornstarch dissolves. Cook the sauce over medium heat until the mixture thickens and boils, stirring constantly. Transfer the cooked chicken rolls to a heated serving platter and cover with sauce. Garnish with apple slices, if desired.