Preheat oven to 400°F. Butter a 2-quart gratin dish or other shallow baking dish and sprinkle with 2 teaspoons zest.
In a heavy saucepan cook shallot and celery in butter and oil over moderate heat, stirring, until celery is softened. Add flour and cook mixture, stirring, 3 minutes. Add broth in a stream, whisking, and bring to a boil, whisking. Add remaining 1 teaspoon zest and salt and pepper to taste and simmer sauce, whisking, until thickened, about 3 minutes.
In a kettle of salted boiling water cook orzo until just al dente, about 6 minutes, and drain well. In a large bowl stir together orzo, sauce, dill, and Gruyère and transfer to prepared dish.
Bake orzo in middle of oven 30 minutes, or until bubbling and slightly crusty.
