Cream the butter with the powdered sugar and vanilla sugar until light and fluffy. Add the egg and orange zest, then gradually add the flour. Pour in 2-3 tablespoons of milk and mix just until the ingredients are combined.
Transfer the dough to a pastry bag fitted with a star tip. Fill another pastry bag with Lauretta orange 50% filling.
Pipe small rosettes onto a baking sheet lined with parchment paper, then pipe a small amount of Lauretta filling into the center of each cookie.
Bake in a preheated oven at 200 °C for about 8 minutes, until the edges are lightly golden.