Mist coming out of my orange?!

It's called "essential oil".
All citrus fruit has it in the zest, or outermost layer.
I used limes, oranges, and lemons for their essential oils for 10 years as a bartender before I became a Chef and learned about it all over again.

Chef and ex-bartender

It's nothing really. When you're peeling it, you're proobably putting some pressure onto it. Some holes are popping up and water is coming out. It's still safe to eat and whatnot.

Tht moisture is the water content in the fruit, try pressing the rind near ur eyes and let that moisture spray into ur eyes

It's the moisture coming out of the rind as you pull it off.

The orange is fine to eat.

It is just the juice atomising as it burst out through the membranes of the segments.

Um, juice fromt the orange or moisture coming out of the peel.

it's just where it was setting in a cool place then put into a warm place makes it better

Try to store it in cool place.

Was it in a warm place?