Heat oven to 350°F. Let cookie dough stand at room temperature 10 minutes to soften. Line large cookie sheets with parchment paper. With microplane or fine grater, grate 1 rounded tablespoon peel from the orange. In small bowl, squeeze 2 tablespoons juice from the orange.
In large bowl, break up cookie dough. Add orange peel, orange juice and flour. Beat with electric mixer on low speed. Increase speed to medium; beat until well blended. Shape dough into 1 1/4 inch balls. Dip each ball in beaten egg white; roll in walnuts to completely cover. Place 2 inches apart on cookie sheets.
Bake 12 to 15 minutes or until set and very light golden brown. Remove from oven. With handle of wooden spoon, make indentation 3/4 inch wide in center of each cookie. Fill each indentation with about 1 teaspoon chocolate hazelnut spread. Bake 5 minutes longer. Cool on cookie sheets 2 minutes; remove to cooling rack. Cool completely, about 15 minutes.