In a medium bowl, beat together the cream cheese, marshmallow cream, vanilla and orange zest with a hand mixer until smooth and fluffy.
Using a 2 1/2 to 3-inch biscuit cutter or round cookie cutter, cut out the outside edge of each cookie to form clean smooth edges. You can use various size cutters to make different size cookies if desired.
Spoon 2 to 3 tablespoons of the filling on to the bottom of 6 cookies. Top with the remaining cookies and lightly press down so that the filling is pushed to the edge of the cookie.
Place the sprinkles into a saucer and roll the sides of each moon pie into the sprinkles. Place on a serving dish.