Preheat oven to 400.
Grease a large, heavy baking sheet with cooking spray and set it aside.
Sift the flour, sugar, baking powder, and salt into a large mixing bowl.
Stir in the orange zest.
Rub the butter into the dry ingredients with your fingers until the mixture resembles fine crumbs.
Make a well in the center and pour in the milk, egg yolk, and vanilla. Start with 1/2 cup milk, add more only if needed
Using a wooden spoon, combine all the ingredients just until the dough comes together.
Transfer the dough onto a lightly floured surface and knead the dough three or four times, then form two equal-sized dough balls.
Flatten each ball into a disk about 3/4-inch thick, then cut each dough-ball into 8 wedges. If possible, use a pizza cutter.
Put all the pieces on the baking sheet, leaving about 1/4-inch space between them.
Brush the tops of each scone with milk.
Bake the scones for 15 to 18 minutes, or until golden brown.
Let cool for a few minutes and then transfer the scones to a wire rack.