1. Preheat oven to 350 degrees F. In a large bowl, beat the 1 cup butter with an electric mixer on medium to high speed for 30 seconds. Add egg and 1 cup of the dry cookie mix; beat just until combined. Gradually beat in as much of the remaining cookie mix as you can. Using a wooden spoon, stir in hazelnuts, orange peel, and any remaining cookie mix. If necessary, knead gently to combine.
2. On a lightly floured surface, roll half of the dough to 1/8- to 1/4-inch thickness. Using a 1 3/4-inch scalloped cookie cutter, cut out dough. Re-roll trimmings and repeat cutting dough. Arrange cutouts 1 inch apart on ungreased cookie sheet. Sprinkle with colored or granulated sugar.
3. Bake in preheated oven about 10 minutes or just until edges begin to brown. Transfer to a wire rack; cool. Repeat with remaining dough.
4. Spread about 1 teaspoon of the Eggnog Filling on the flat side of each of half of the cookies. Top each cookie with a remaining cookie, flat side down. Makes about 36 cookies.
Eggnog Filling: In a small bowl, combine 2 cups powdered sugar, 2 tablespoons butter, and enough of 2 to 3 tablespoons eggnog to make a mixture of spreading consistency.
TO STORE: Layer filled cookies between waxed paper in an airtight container; cover. Store at room temperature for up to 48 hours or freeze for up to 1 month. (Or store unfilled cookies at room temperature for up to 3 days; fill before serving.)