Chop orange and cranberries into coarse pieces in a food processor.
In a medium-size saucepan, add cranberry-orange mixture, pineapple, sugar, water, Grand Marnier and pepper. Simmer over medium-high heat for 20-30 minutes (or until mixture is thick enough to coat the back of a spoon). Place mixture in a glass bowl and cover with plastic wrap. Cool to room temperature and refrigerate overnight.