In a large mixing bowl, beat the butter with an electric mixer on medium to high speed for 30 seconds. Add sugar, baking powder, and salt. Beat until mixture is well combined.
Beat in egg yolk and vanilla. Beat in flour (knead dough by hand if necessary until dough holds together). Divide dough in half. Stir melted chocolate into one half; stir shredded orange peel into second half. If necessary, use your hands to knead chocolate and orange peel evenly into cookie dough portions.
Roll each portion of dough between two pieces of lightly floured waxed paper to a 12x8-inch rectangle. Remove top sheets of paper. Invert the orange dough on top of the chocolate dough. Carefully remove the waxed paper. If necessary, chill the dough to make the paper easier to remove.
Starting from a short side, roll the chocolate- and orange-flavored doughs together into a log. Wrap the log in clear plastic wrap, and chill it for 2 hours or up to 3 days.
Unwrap the log, and cut it into 1/4-inch-thick slices. Place slices about 2 inches apart on ungreased cookie sheets. Bake pinwheels in a 350 degree F oven for 9 to 10 minutes or until cookies are lightly browned on bottoms. Transfer cookies to wire rack to cool. Makes about 30 cookies.