You should buy an organic orange - many citrus fruit are treated with fungicudes etc. to prevent mold in stores and during transport (we consumers benefit only by accident). There is a question over at Seasoned Advice that discusses whether they may be washed off.There is a question over at Seasoned Advice that discusses whether they may be washed off.
That said, if you give your child a washed organic orange - under supervision, of course - I see no reason how this would harm her.
The fear of allergies is imho only warranted if the medical history in the family suggests it and current trends about baby food are that small amounts of different foods are considered beneficial. Note that you are not feeding her the orange (and some children don't tolerate acid fruit or juices well), but if she playfully bites into the fruit she will simply experience some "new" taste. The stimulus of the taste, smell and tactile sensation could actually be good for her.