Preheat oven to 375 degrees F (190 degrees C). Lightly grease a roasting pan.
Wash quail and rub the inside cavities with salt and 1 teaspoon of orange zest.
In a medium saucepan bring vegetable broth and rice to a boil. Add the bay leaf and reduce heat to low; cover and simmer for 35 to 40 minutes, or until liquid is absorbed.
Meanwhile, heat oil in a medium skillet over medium heat. Saute onions until translucent; add celery and sage and saute 2 minutes. Transfer to a medium bowl. Stir in the egg white, remaining orange zest, walnuts, black pepper, cooked rice and parsley; mix well. Stuff the cavities of the quail with the rice mixture. Lightly season the skins with salt and cracked black pepper.
Bake in preheated oven for 35 to 40 minutes, or until cooked through.
Remove quail from pan and de glaze with the chicken broth. Strain and ladle over the quail.