Using a stand mixer with the paddle attachment or a hand mixer, cream the butter, sugar, and orange zest together until light and fluffy, 3 to 5 minutes, scraping down the sides of the bowl often.
Beat in the eggs, then add the orange juice, vanilla, baking powder, baking soda, and salt, beating on medium-low speed until combined. The mixture will look curdled but that’s ok.
Add the flour and mix on low speed until the dough is just combined. Scrape the mixture onto a piece of plastic wrap, kneading it a few times if there are any floury patches, then wrap it up and refrigerate for 30 minutes, or up to overnight.
Arrange oven racks in the top and bottom thirds of the oven and preheat the oven to 350°F. Line two baking sheets with parchment paper.
Unwrap the dough. If it’s sticky and difficult to handle, lightly dust your hands and work surface with flour. Roll ping-pong-sized portions into smooth balls, then roll each one into a thin rope, 6 to 7 inches long, then shape it into a spiral, a coil, an S, or any other shape you like. Space the shaped cookies out on a baking sheet, 10 to 12 per sheet. Once you’ve filled two sheets, put the uncooked dough in the refrigerator to stay cold while they bake. (They’re easier to shape when the dough is cold.)
In a small bowl, whisk together the egg yolk and milk, then brush each cookie lightly with the mixture and sprinkle with a pinch of sesame seeds.
Bake until the cookies are golden brown on their bases and lightly browned on their tops, 20 to 23 minutes, rotating the pans halfway through.
Cool for 10 minutes on the pan, then gently transfer them to a wire rack to cool completely. Meanwhile, shape and bake the remaining dough portions in the same manner.