Preheat oven to 350°F (175°C). Line a baking sheet with parchment paper.
In a mixing bowl, whisk together flour, sugar, baking powder, and salt.
Cut in the cold butter until the mixture resembles coarse crumbs.
In another bowl, beat the egg, orange juice, and vanilla extract. Add to the flour mixture and mix until a dough forms.
Roll out the dough on a floured surface to about ¼ inch thickness. Cut into circles using a cookie cutter or glass.
Place a teaspoon of filling in the center of each circle. Fold the edges to form a triangle, pinching the corners to seal.
Place the cookies on the prepared baking sheet and bake for 15-20 minutes, or until golden brown.
Let cool on a wire rack before serving.