Preheat the oven to 400° F. Next, line a baking sheet with parchment paper.
In a large bowl, whisk together the flour, baking powder, baking soda, and salt and set aside.
In a small bowl, lightly whisk the egg. Whisk in Greek yogurt and set aside.
In another bowl, place the sugar and orange zest together. Using the back side of a spoon combine the sugar and orange zest.
Stir the sugar mixture in with the flour mixture.
Add the frozen shredded butter and blend with a pastry blender until mixture is like little pebbles.
Stir in the egg/yogurt mixture into the dough. Add the cranberries, vanilla extract and mix until it forms a ball.
Divide dough in half.
Place one portion on a lightly floured surface and press it into a 6-inch round. It should be about an inch in thickness.
Cut the round into 4 or 6 wedges and place on parchment lined cookie sheet.
Repeat this with your other portion of dough.
Bake for about 13-15 minutes and until golden. Cool on baking sheet for 5 minutes and then transfer to a wire rack.
Meanwhile, make the glaze.