Knead the flour, sugar, butter, salt and vanilla until dough is soft and fragile (pate sablée). Divide the dough into two parts: add cocoa to one part and in the second part add dried and grounded orange peel.
Wrap the two doughs in plastic wrap and put them in the refrigerator for at least 30 minutes. Roll out the two dough about 2mm high. Brush the orange dough with a little water and put the cocoa dough over it.
Flat with a rolling pin and then roll tight the two dough together. Wrap in plastic wrap and put in the refrigerator for another 30 minutes. Turn on the oven to 350°F (180°C). Cover a baking sheet with parchment paper.
Get the roll from the refrigerator and cut it into slices. Arrange the cookies on the baking sheet and bake them for 15/20 minutes. Let cool completely before serving.