Bring sugar and 1 cup water to a boil in a medium saucepan and cook until sugar is completely dissolved, about 1 minute. Remove from heat, stir in zests, and let sit at room temperature for 30 minutes to infuse syrup. Strain to remove zests, then stir in juice, Cointreau, and vodka. Refrigerate syrup, covered, until cold. For each cosmo, pour 2 tablespoons syrup over 1/2 cup crushed ice.