Preheat the oven to 325 degrees.

In a mixer fitted with a paddle attachment (or using a hand mixer), mix the butter, orange zest and confectioners' sugar until light and fluffy. Add the vanilla and salt and mix. Add the sifted flour and mix until smooth. Refrigerate 30 minutes. On ungreased cookie sheets, working in batches if necessary, drop level teaspoons of the chilled dough 2 1/2 inches apart. One by one, pick up the dough balls, roll into a smooth ball, and replace on the cookie sheet. Spread about 3 tablespoons of confectioners' sugar on a plate. Dip the bottom of a drinking glass into the sugar and use it to press the dough balls flat, into 1 1/4-inch circles. Repeatedly dip the glass into the sugar as needed to keep the bottom dry and coated. Bake until golden brown around the edges, 12 to 15 minutes. Let cool on the cookie sheets for 2 minutes. Transfer to wire racks and let cool completely.

To assemble the cookies, liberally spread half of the orange cookies with cocoa filling, keeping the filling a little bit away from the edges. Cover with a plain cookie and press together gently to create a sandwich. Store in an airtight container.

Filling: In a small bowl, mix the cocoa and sugar. In a saucepan, melt the butter over low heat. Add the cocoa mixture and the cream and cook, stirring, until thickened, about 3 minutes. Set aside to cool; the mixture will thicken as it cools.