There is no need to peel though as others have mentioned orange peel makes a juice very bitter.
Personally I have found this isn’t the case with lemon and lime peel so I include those, but if in doubt try it before adding other ingredients to the jug.
It is recommended when peeling citrus to try to retain as much of the pith as possible as that is where majority of the nutrients are found. 80-90% of nutrients are located in and just under the skin of produce so wherever possible keep it.
Be mindful also that non-organic produce need to be well washed. Some people wash in a solution of water and white vinegar then rinse to remove taste. I have heard some say that the benefits of peeling non organic produce outweigh the loss of nutrients, personally I don’t agree, I just wash mine really well.