Whisk together flour, cornmeal, and salt in a large bowl; set aside. Whisk together yolk, cream, and vanilla in a small bowl; set aside.
Put butter and sugar in the bowl of an electric mixer fitted with the paddle attachment. Mix on medium speed until pale and fluffy, about 2 minutes. Mix in yolk mixture and orange zest until combined. Mix in flour mixture until just combined. Shape dough into a disk; wrap in plastic. Refrigerate until cold, about 30 minutes or up to 1 day, before using.