Preheat oven to 350 F.
In a bowl, combine butter, sugar, egg, vanilla, Orange and salt, and beat with a mixer until fluffy. Add flour; beat. Form dough into a thin disk. Wrap disk in plastic wrap; chill for 1 hour.
Transfer dough to a floured surface; roll to a 3⁄16″ thickness. Using a 3-inch cookie cutter (not smaller) or the 3-inch rim of a glass to cut circles, cut dough into rounds. Reroll scraps; repeat. Transfer the rounds to 2 parchment paper–lined baking sheets.
Place about 1 tsp. apricot preserves in center of half the rounds; place about 1 tsp. raspberry preserves in the center of remaining rounds. Brush egg white around edges. Fold in edges to form a triangular package, leaving a small opening at the top. Refrigerate filled cookies for 30 minutes.
Bake cookies, one sheet at a time, until lightly browned, about 15 minutes.