Combine the all-purpose and semolina flours, sugar, anise seeds and salt in a food processor. Pulse until the seeds are mostly pulverized, about 3 minutes. Add the butter and pulse until it is in pea-size pieces. Add the egg yolk, honey, vanilla, and orange and lemon zests; pulse until the dough comes together into a smooth ball. Turn out onto a piece of plastic wrap. Pat into a disk, wrap and refrigerate until firm, at least 4 hours or overnight.
Line 2 baking sheets with parchment paper. Let the dough soften slightly at room temperature, about 15 minutes. Roll tablespoonfuls of dough into 5-inch-long ropes, about 1/4 inch thick. Pinch the ends of each rope together to form a ring; arrange about 1 1/2 inches apart on the prepared baking sheets. (Return the dough to the refrigerator if it gets too soft.) Refrigerate the cookies until firm, about 30 minutes.
Position racks in the upper and lower thirds of the oven and preheat to 325 degrees F. Bake the cookies, switching the position of the pans halfway through, until golden, 15 to 18 minutes. Remove from the oven and let cool on the baking sheet. Beat the egg white with 1 tablespoon water in a small bowl; brush onto the cookies. Sprinkle with nonpareils, then return to the oven until set, 2 to 3 more minutes. Transfer to racks to cool completely.