Combine the orange zest, granulated sugar, confectioners' sugar, rosemary and salt in a food processor and process, scraping the bowl occasionally, until the mixture is sandy and turns orange, about 1 minute. Add the butter and process until creamy, 1 to 2 minutes. Add the egg yolks and process, scraping the bowl occasionally, until combined, about 1 minute. Add the flour and process until smooth, about 1 minute. (The dough will be very soft.)
Divide the dough between 2 sheets of plastic wrap. Using the plastic to help you, shape each into a 10-inch-long log. Wrap and refrigerate until firm but not hard, 1 hour.
Unwrap and reshape each into a smooth, even cylinder. Wrap again tightly and refrigerate until very hard, at least 2 hours or overnight.
Position racks in the upper and lower thirds of the oven; preheat to 350 degrees F. Line 2 baking sheets with parchment paper. Lightly beat the egg white in a small bowl. Unwrap 1 log and brush all over with some of the egg white, then sprinkle with 1 tablespoon sanding sugar. Using a sharp knife, slice into 1/4- to 1/2-inch-thick rounds. Arrange 2 inches apart on one of the prepared pans. Repeat with the second log of dough.
Bake, switching the pans halfway through, until the cookies are golden around the edges, 20 to 24 minutes. Let cool 5 minutes on the pans, then transfer to racks to cool completely.