These cookies get tossed in confectioners' sugar and resemble little snowballs.
Preheat oven to 325 degrees. Pulse almonds, flour, salt, and nutmeg in a food processor until fine crumbs form.
Cream butter and confectioners' sugar with a mixer on medium speed until light and fluffy. Beat in vanilla seeds and orange zest, then almond mixture. Refrigerate for up to 1 hour.
Roll dough into 1/2-inch balls. Place on parchment-lined baking sheets, spacing cookies 1 inch apart. Bake until cookies are set and bottoms are light golden brown, 20 to 25 minutes. Let cookies cool on sheets on wire racks. Just before serving, roll in confectioners' sugar.
Cookies will keep, covered, for up to 5 days.