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1. Heat oven to 375u00b0F.
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2. For the cookies, in a medium bowl, whisk together the butter, granulated sugar, vanilla, eggs and grated orange zest until blended. Add the flour, baking powder, and salt and mix until just combined (do not overmix).
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3. With floured hands, roll level tablespoonfuls of the dough into balls. Then roll balls in chopped pecans and place on parchment-lined baking sheets, spacing them 2 inches apart. Gently press the center of each ball using your finger or thumb or end of a round wooden spoon.
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4. Bake until puffed and the bottoms are pale golden, 7 to 8 minutes. Using the end of a wooden spoon, gently indent each cookie again and then transfer to a cooking rack.
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5. Make the filling: In a small saucepan, bring cranberries, water, sugar, and orange zest to a boil over medium-high heat. Reduce heat, and simmer, gently mashing cranberries, until thick and jam-like, 5 to 6 minutes. (If mixture is too thick, add a little water to thin.) Transfer to a bowl, and let cool completely. (Filling can be refrigerated for up to 1 week.)
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6. While the cookies are still warm, drop enough cranberry mixture into the center to fill completely. Store in even levels with sheets of waxed paper between each layer.
