In a small mixing bowl, add the cream cheese, powdered sugar, orange extract, and orange zest. Beat using a hand mixer on low speed the powdered sugar is almost completely combined. Turn mixer up to medium speed and continue to beat until smooth and creamy.

Cover and refrigerated the filling for at least 45 minutes.

While the filling is chilling, work on the cookie dough.

In a large mixing bowl, add the butter and sugar. Using a hand mixer, beat on medium speed until creamed, about 1 to 2 minutes.

Add the egg, vanilla extract, and orange zest. Beat until the egg is combined.

Add the flour, baking powder, baking soda, and salt. Beat on low speed until the flour is almost completely worked into the cookie dough. Turn the mixer up to medium speed and beat until well combined. and mix well.

Add 10 drops of yellow food coloring and 10 drops of red food coloring. You can also use orange food coloring or no food coloring.(Add less if desired) Beat until the food coloring is thoroughly mixed into the dough.

Cover the cookie dough and place in the refrigerator for at least 30 minutes.

While the cookie dough is chilling, preheat the oven to 350 degrees F. Line two cookie sheets with parchment paper.

Use a 1 tablespoon cookie scoop, scoop two cookie dough balls for each cookie.

Flatten one of the cookie dough balls and put 1/2 teaspoon of filling into the cookie.

Flatten the second cookie dough ball and place it on top of the filling and seal the edges of the cookie dough together.

Form the cookie dough back into a ball and roll it in the sugar to coat the outside.

Place on the prepared cookie sheet 2 inches apart.

Place in the preheated oven and bake for 10 minutes or until the edges of the cookie are golden brown and the top is no longer shiny.

Remove the cookies from the oven and let cool completely on the baking sheet.

Store in an airtight container in the fridge.