Create a pocket about 2/3 of the way into each slice of bread by cutting along an edge. Fill pockets with 2 or 3 banana slices each.
In a medium bowl, beat together eggs, water, milk, vanilla extract, orange liqueur and orange zest. Dip the bread slices in the mixture, allowing slices to become saturated.
Melt butter in a medium skillet over medium heat. Place a few slices at a time in the skillet, and cook, turning once, until both sides are golden brown. Dust with confectioners' sugar to serve.
