Bring the water, milk, sugar, and orange zest to a near boil in a medium saucepan. Gradually whisk in the semolina. Cook, whisking, until thickened, 1 to 2 minutes. Remove from heat and let cool for 10 minutes. Stir in mascarpone, egg, and vanilla until smooth.
Heat the oven to 355°F/180°C with convection, and line a baking sheet with parchment paper.
Lay out one phyllo sheet and brush lightly with melted butter. Pinch the center and twist gently. Place 1 heaping tablespoon of filling in the center. Fold the sides over the filling, then flip the pastry upside down to set its shape. Repeat with remaining phyllo and filling.
Arrange the pastries on the prepared sheet. Brush tops with butter and bake until deep golden, about 45 minutes.
Dust with powdered sugar before serving.