In a large stand mixer (or hand mixer), begin to cream the butter until light and soft. Add sugar and cream together.
Add 1 egg, vanilla and orange zest and mix well.
In another bowl, sift together the flour and salt.
In about 2 batches and with the mixer on low speed, slowly add the flour mixture. Mix until just combined and use a spatula to scoop down the sides making sure everything is incorporated well.
Once mixed, take dough out and knead until a smooth ball forms but don't overwork it.
Form the dough into a round, flat disk and wrap in plastic wrap.
Place in refrigerator for about 2 hours or in freezer for about 1 hour.
Remove dough from freezer or refrigerator and flour surface very well. Using a good, heavy rolling pin (or some good ol' fashion elbow grease), begin to roll out the dough. The dough will feel hard so just get going with it. I let it rest on the counter for about 20 minutes in between pounding and then it began to create flexibility to roll out.
Roll out to about 1/4 thick.
Use a 3 inch round cookie cutter to cut out circles, or a drinking glass may work well too.
Don't discard scraps, knead and roll out again to cut more circles.
Take one circle and place a teaspoon of filling in the center.
Take one side of circle and fold in.
Take other side and fold in, bringing the top corners together.
Now here's the tricky part. Take the bottom part and fold up while making it overlap the 2-sides (if that makes sense? So essentially, you want the left side-corner to be OVER the bottom flap and the right-side corner under the flap.
Secure and pinch the corners and place them on a greased baking sheet (or parchment paper, if using).
Brush with egg wash.
Bake at 350 degrees Fahrenheit for about 20 minutes, rotating halfway through.
Let cool on baking sheet for about 5 minutes before transferring to a cooling rack.