In a large mixing bowl, use your fingertips to rub together the sugar and orange zest until all of the sugar is evenly moistened with the zest.
Add the butter and beat on medium-high speed for 5 minutes, stopping to scrape the sides of the bowl occasionally, until the mixture is pale, light and fluffy.
Add the eggs one at a time, beating for a full minute on medium speed after each addition. Add the milk and vanilla extract and beat to combine.
Sift the flour, baking powder and salt into the dough a little at a time, and beat on low speed until just combined. Use a rubber spatula to give the dough a final mix and incorporate any pockets of flour. The dough should be soft, but not sticky. Cover with plastic wrap and allow to rest for 20 minutes.
Preheat oven to 400 degrees F. Line two baking sheets with parchment paper or silicone baking mats.
Using about 2 tablespoons of dough at a time (or a medium cookie scoop), roll the dough into 7-inch ropes and then shape as desired: braids, circles, pinwheels, "S"s, etc. Place at least 2 inches apart on the prepared baking sheet.
In a small bowl, whisk together the egg yolk and water for the egg wash. Brush over the shaped cookies.
Bake, one sheet at a time, until golden brown, about 20 minutes. Allow to cool on the baking sheet, then store in an airtight container for up to 2 weeks.