Yield: about 3 cups
Cut off both ends of the citrus and stand fruit on end. Slicing from the top to the bottom of the work surface, remove all of the peel and white pith. Cut the citrus in half and remove the inner membrane and any visible seeds. Chop into small pieces, about 1/2 to 1 inch in size, and set aside in a bowl. Repeat with the remaining fruit.
In a medium stainless-steel saucepan, add the Earl Grey tea and sugar and bring to a boil, stirring occasionally until the sugar is dissolved, about 2 minutes. Slice the vanilla bean in half lengthwise and, with a paring knife, gently scrape the vanilla beans from the pod. Add the vanilla, cinnamon and chopped citrus to the saucepan.
Bring the mixture to a boil and then reduce to a simmer. Cook for about 25 minutes or until thickened and the liquid becomes syrupy, stirring occasionally. Remove from the heat and let cool completely. Package in pretty glass jars and refrigerate until ready to use. The compote may also be gently reheated over medium-low heat before serving, if desired.