The correct answer is: no article.
The word "orange" is a common noun, which means it refers to a general class of things. In this case, the speaker is asking for an orange from the group of oranges that the listener has just brought. Therefore, we do not need to use an article.
If we were to use an article, it would change the meaning of the sentence. For example, if we said "Sir, please give me an orange you have just brought," we would be asking for any orange from the group of oranges that the listener has brought. However, if we say "Sir, please give me the orange you have just brought," we would be asking for a specific orange from the group of oranges that the listener has brought.
In this case, the speaker does not specify which orange they want, so we do not need to use an article.
