In a small saucepan, combine the sugar and water and bring to a boil, stirring to dissolve the sugar. Remove the saucepan from the heat. Add the basil sprigs and lemon and orange zests. Let the syrup stand, stirring often, until cooled to room temperature, about 20 minutes. Discard the basil sprigs and zest strips.
In a large pitcher, combine the basil syrup with the wine, brandy and orange juice. Pour the sangria into ice-filled glasses, top with club soda and garnish each drink with an orange slice.