In a large mixing bowl, add in sugar, orange zest, and the ground oranges. Mix thoroughly. Add in the butter and mix on medium until light and fluffy.
Add the egg and vanilla to the wet ingredients and mix on medium until completely combined.
Add in all of the flour and mix on low so the flour doesn't cover the kitchen. The dough should be somewhat stuff so it's easy to shape.
In a medium bowl, add in the sugar and cocoa powder. Mix until combined. Add in the butter and mix on medium is light and fluffy.
To melt the chocolate, place it in the microwave for 20 second intervals. Mix after each time in the microwave. It would only take a few times to get a smooth, melted chocolate. Add the chocolate into the wet ingredients and mix on medium until incorporated.
Add in the egg and vanilla and mix until everything is combined.
Add in the flour and mix on low. Once again, this will help prevent the flour from flying all over. The dough will be stiff so it's easier to work with.
Place the chocolate dough between 2 pieces of parchment paper and roll the dough out into a rectangle.
Place the orange dough on the top layer of parchment paper and start rolling it to look like a long sausage. Keeping it on top of the chocolate dough will help measure how long the sausage like shaped dough should be.
Once the dough is the appropriate size, remove the top layer of parchment paper and place the orange dough next to the end of the chocolate dough and begin rolling it until the chocolate dough is all rolled up.
Give the dough another roll to release all the air bubbles. This will help prevent holes in the cookies.
Wrap the cookies up in plastic wrap and foil to store in the freezer. Store in the freezer up to 2 months.
Remove from the freezer and slice. Place them on a parchment covered baking sheet. Place them in a preheated 350 degree oven. Bake for 14 minutes or until done.