In a medium bowl, whisk together flour, baking powder, and salt.

In a large bowl, mix together cheese, butter, vanilla seeds, and orange zest with a wooden spoon until well combined. Add flour mixture and stir until mixture resembles coarse crumbs. Transfer dough to a piece of plastic wrap, shape into a disk, and wrap tightly. Refrigerate 1 hour.

Preheat oven to 350 degrees. On a lightly floured surface, roll out dough 1/8 inch thick. Using a 4-inch round cutter, cut out rounds. Gather dough scraps, reroll, and cut out more rounds.

Place granulated sugar in a wide shallow bowl. Working with one round at a time, brush with water, then dip in sugar to coat. Fold round in half, covering sugar; fold in half again. Place seven cookies on each of two parchment-lined baking sheets. Brush tops with egg wash and sprinkle with coarse sanding sugar. Bake until golden, 25 to 30 minutes. Transfer sheets to wire racks; let cool completely. Cookies are best eaten the day they are made.