Preheat the oven to 400 degrees F.
Place the chicken breasts between two pieces of wax paper or plastic wrap and pound to 1/4-inch thick (a meat mallet or wooden spoon works well). Pat the chicken dry and sprinkle liberally with salt and pepper on both sides. Sprinkle the goat cheese lengthwise on one half of each breast; then sprinkle with dill, orange zest and more salt and pepper. Fold in the short ends--like folding a burrito--then, starting on the half with cheese, roll up into a tight cylinder. Close the seams with toothpicks.
Whisk the eggs in a wide, shallow dish. In a separate dish, combine the breadcrumbs and ground pecans. Sprinkle the stuffed chicken with salt and pepper. Dip in the egg mixture and then in the breadcrumb mixture; shake off excess breading.
Place the breaded chicken on a wire rack set over a baking sheet and spray with coconut oil. Bake to an internal temperature of 160 degrees F, 15 to 20 minutes. Remove from the oven and let rest for 5 minutes.
Remove the toothpicks. Serve garnished with dill sprigs.