In a medium bowl, combine the sugar, milk, vanilla, butter, and orange zest. Mix until the butter is partially incorporated.
Add the almond flour, tapioca flour, baking powder, and salt. Using your hands, mix until a cohesive dough forms, breaking up the butter as you go. Scrape the bowl to ensure even incorporation.
Shape the dough into a disk, wrap tightly, and refrigerate for at least 1 hour.
Heat the oven to 350°F/175°C. Line a baking sheet with parchment paper.
Roll half the dough on a lightly floured surface to 1/4-inch/6 mm thickness. Cut into 3-inch/7.5 cm rounds and transfer to the prepared baking sheet. Reroll scraps once.
Place 1/2 to 1 teaspoon jam in the center of each round. Fold up three sides to form a triangle, pinching seams firmly to seal.
Bake until lightly golden at the edges, 12 to 15 minutes. Cool on the baking sheet for 10 minutes, then transfer to a rack. Repeat with remaining dough.
Dust with powdered sugar before serving.
Store in an airtight container at room temperature for up to 1 week or freeze for up to 2 months.