In food processor bowl with metal blade or blender container, chop cranberries with 1/4 cup sugar. In small saucepan, combine cranberry mixture and jelly. Bring to a boil, stirring occasionally. Reduce heat to low; simmer 5 minutes. Cover; refrigerate.
Meanwhile, in large bowl, combine 1 cup sugar, margarine, milk, vanilla and egg; blend well. Lightly spoon flour into measuring cup; level off. Add flour, orange peel, baking powder and salt; mix well. Cover with plastic wrap; refrigerate 1 hour for easier handling.
Heat oven to 400°F. On well-floured surface, roll out half of dough at a time to 1/8-inch thickness. (Keep remaining dough refrigerated). Cut with floured 2-inch star-shaped or round cookie cutter. Place half of cookies 1 inch apart on ungreased cookie sheets. Cut 1-inch star shapes from centers of remaining cookies. Place cookies and small star cutouts 1 inch apart on separate cookie sheets; sprinkle with coarse sugar.
Bake small star cutouts at 400°F. for 3 to 5 minutes and large cookies for 4 to 6 minutes or until edges are light golden brown. Immediately remove from cookie sheets. Cool 15 minutes or until completely cooled.
Spread bottom side of each whole cookie with about 1 teaspoon filling. Place cut-out cookies over filling. Store between layers of waxed paper in tightly covered container. Reserve small star cookies for a later use, such as to top ice cream sundaes.