Heat a little oil in the bottom of a heavy pot over medium high heat. Saute onion, garlic, bay leaves, and chili peppers in the oil until translucent, stirring as needed.
Add in the mango and stir. Cook for about a minute. Add in the booze and cook off the alcohol. Then add the rest of the ingredients, except the orange and vanilla
Split the vanilla bean lengthwise. Scrape the seeds into the sauce and then toss in the bean. Cut the orange in half, squeeze it into the sauce (keeping out seeds). Then toss the orange into the sauce. Stir well. Bring to a simmer. Allow to simmer over low heat for at least an hour, stirring occasionally. If the sauce begins to get too thick, you can add a little water or orange juice to moisten it.
Remove the bay leaves, orange, and vanilla bean from the sauce and blend it until smooth. If it is a little loose, you can return it to the heat. Otherwise, it's good to go. Use it with chicken, fish, meat, or more.