Make the Orange-Sable Dough: Place almonds and sugar in the bowl of a food processor. Process until mixture resembles coarse cornmeal; set aside.
Place butter and zest in bowl of an electric mixer fitted with paddle attachment. Beat on medium speed until white and fluffy, 2 to 3 minutes. On low speed, add almond mixture; beat until combined, 10 to 15 seconds. Add egg and lemon juice; combine. Add flour, and beat until combined. Wrap in plastic, and store, refrigerated, until ready to use.
Make the Chocolate-Espresso Dough: Sift flour, cocoa powder, and espresso beans in a large bowl; set aside.
In bowl of an electric mixer fitted with paddle attachment, combine butter, sugar, and vanilla until creamy, 3 to 4 minutes. Working in additions, gradually beat in flour mixture, scraping down sides of bowl twice. Wrap in plastic; store, refrigerated, until ready to use.
Line an 8-inch-square baking pan with plastic. In a large bowl, stir cranberries into orange-sable dough. In another large bowl, stir walnuts into chocolate-espresso dough.
Press orange mixture into bottom of pan. Using an offset spatula, smooth top evenly. Spread chocolate mixture over orange mixture and smooth evenly. Cover pan with plastic; chill at least 2 hours.
Heat oven to 350 degrees. Line two baking sheets with parchment paper. Unmold dough; remove plastic. Cut into 2-by-8-inch bricks; cut bricks into 1/4-inch-thick slices. Place slices on sheets, spaced 1 1/2 inches apart. Bake until firm to the touch, 12 to 15 minutes. Transfer cookies to a wire rack to cool. Bake or freeze remaining dough. Store in an airtight container up to 2 weeks.