Preheat oven to 400°F (200°C). Line a baking sheet with parchment paper.
In a large bowl, whisk together flour, sugar, baking powder, salt, and orange zest. Grate the frozen butter into the dry ingredients using the large holes of a box grater. Toss with your fingers until the mixture resembles coarse meal.
Stir in the dried cranberries and chopped walnuts.
In a small bowl, whisk together heavy cream, egg, and vanilla extract. Pour into the dry ingredients and stir with a fork until just combined. Do not overmix.
Turn the dough out onto a lightly floured surface and knead gently a few times until it holds together. Pat into an 8-inch circle, about 1 inch thick. Cut into 8 wedges.
Transfer wedges to the prepared baking sheet, spacing them 2 inches apart. Brush tops with heavy cream and sprinkle with turbinado sugar.
Bake for 18-22 minutes, until golden brown. Let cool on the baking sheet for 5 minutes, then transfer to a wire rack to cool completely.