Oranges and lemons contain large concentrations of citric acid. Citric acid is a compound that is created when a cell breaks down "food" (like glucose, which is a sugar). Specifically citric acid is generated during one of the early steps of the tricarboxylic acid (TCA) cycle (also known as the citric acid cycle or the Krebs cycle). This is one of many chemical reactions that occur in the cell when it is breaking down larger things into smaller things, which can be used to create energy or other things needed in the cell. All types of cells are able to do this (including your own!)

What makes citrus fruit (like oranges and lemons) special is that they do not use up as much citric acid as other cells. Other cells will tend to convert citric acid into another compound. This results in the citrus fruit cell accumulating a lot citric acid.