In a medium saucepan, combine the zest, juice, carrots, wine, oil, cumin, salt, and enough water to cover (about 3/4 cup). Bring to a boil. Reduce heat and simmer until almost tender but still slightly crisp in the center, 3 to 4 minutes.
Transfer the carrots and the cooking liquid to a bowl. Season with the pepper. Cover and refrigerate until chilled through, about 40 minutes. Drain all but 1/2 cup of the cooking liquid before serving.