Cookie dough. Sift the flour, baking soda, salt, cinnamon, and nutmeg into a bowl and lightly whisk them together. Set aside.
In the bowl of an electric mixer, cream together the butter and the sugar for 5-7 minutes. Add the zest about half way through. The mixture should be light and fluffy.
Add the egg yolks, one at a time, allowing them to fully incorporate before adding the next one. Then add the milk. You may need to stop the mixer a few times to scrape down the sides of the bowl.
Add the dry ingredients to the wet and stir just until fully combined.
Spread the dough onto a large piece of parchment paper. Place another piece of parchment paper over the dough. With a rolling pin, roll the dough until it is approximately ⅛ inch thick. Pulling from the bottom piece of parchment, slide the parchment encased dough onto a baking sheet and place it in the refrigerator for at least one hour. While the dough is chilling, make the filling.
Bake dough. Preheat oven to 350 F.
Remove the dough from the refrigerator and lift up the top piece of parchment paper. If the dough gets sticky, place it back in the refrigerator for 10-15 minutes. Gather any scraps, roll them out to ⅛ inch thickness, refrigerate, and cut more cookies. Place the cookies in the refrigerator or freezer for 10 minutes prior to baking. Place the cookies 2 inches apart on a parchment lined baking sheet and bake 8-10 minutes. The bottoms and edges should be lightly browned.
Make Glaze. Whisk together the confectioner's sugar and the cinnamon. Add the orange juice, 1 Tablespoon at a time, until you reach a thick, pourable consistency. Use a spoon to drizzle the glaze over the cooled cookie tops. Allow the glaze to dry.
Spread or drizzle the glaze on the cookie tops. Decorate with sprinkles, nuts, mini chocolate chips, etc., as desired.