Combine butter and shortening in your mixer's bowl and, at low speed, gradually beat in the powdered sugar, orange zest, orange juice and vanilla; beat until blended.

Turn the mixer on High and beat for 3 minutes, or until smooth and fluffy.

Using a pastry bag or a teaspoon, pipe about a tablespoon size of filling onto half the Jaffa Cakes.

Cover with the remaining cookies on top of the filling and lightly press to form sandwiches.

Spread the shredded coconut on a shallow plate and roll each cake in the coconut so to cover the sides.

Arrange cakes on a serving platter and let stand, lightly covered with a kitchen towel, for 2 hours.

Serve.