Place almonds and confectioners' sugar in the bowl of a food processor. Process until mixture resembles coarse cornmeal; set aside.
Place butter and zest in the bowl of an electric mixer fitted with the paddle attachment. Beat on medium until light and fluffy, 2 to 3 minutes. On low, add almond mixture; beat until combined, 10 to 15 seconds. Add egg and orange juice; combine. Add flour; combine.
Place two 12-by-16-inch pieces of parchment on a clean work surface. Divide dough in half. Form a rough log with each half; place on parchment. Fold parchment over dough; use a ruler to roll and press dough into 1 1/2-inch-diameter logs. Wrap. Chill for at least 3 hours.
Preheat oven to 350 degrees. Line two baking sheets with parchment. Spread sanding sugar in a baking pan. Unwrap logs; roll in sugar to coat. Cut into scant 1/4-inch-thick rounds; place on sheets, 1 inch apart. Bake until edges turn golden, about 15 minutes, rotating halfway through. Transfer to a wire rack to cool. Bake or freeze remaining dough. Store baked cookies in an airtight container for up to 2 weeks.
Dough can be kept frozen for up to 6 weeks.