when i peel a texas orange, i see dust things what is it?!

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When you peel an orange, the citrus oils will "spray" out of the skin which looks like "dust".

If you light a candle, you will see that "dust" will ignite. Not that I'm advocating you become a pyro.
You can even take an orange peel and bend/squeeze the peel to spray towards the candle.

Also, some of that dust is due to the wax coating, as someone mentioned above.

Oranges are waxed before they are sold. The wax coating is intended to protect it from moisture loss, prevent mold growth, minimize bruising and enhance appearance. The white stuff is wax residue.

It's probably citrus from the orange

I don't know but don't eat it just to be safe.