Oleo Saccharum, sugar imbued with citrus oil, is typically made with peeled citrus. The peeling seems to be crucial to freeing the oils in the citrus for the sugar to pull it out - you can't just pour sugar over a whole lime and make oleo saccharum.
I was curious about making oleo from the ends of citrus after making wheels - those are not typically peeled and would be very hard to peel. Also, for limes that were squeezed (as limes are hard to peel) - same situation.
My thought was that if you put the citrus in the freezer, perhaps the pockets of oils in the peel might burst, allowing you to make oleo when the citrus thawed afterward. After all, making tomato water and extracting color from vegetables can be accomplished this way.
Alas, I my attempt at this was unsuccessful. I put ends of lemons in the freezer, thawed them and froze and thawed them again. Then I poured sugar over the top: it did not pull the oils out of the peels. After several hours the sugar was still in crystals on top.
Bartenders have reported making oleo with the citrus husks after squeezing, so the squeezing process must help free the oils in the peel better than freezing them anyway.