Preheat oven to 350°.
In a large mixing bowl, mix the butter and sugar together until creamy. Mix in the egg yolks, vanilla, and orange oil (or orange extract or orange emulsion), and orange zest until well blended.
Add flour and mix just until blended. Cover dough and refrigerate for 30 minutes.
On a floured surface, roll dough into a 16-inch x 12-inch rectangle about ¼ inch thick.
Microwave Nutella for 30 second and stir to make it easier to spread. Spread the Nutella on the dough, leaving a ¼ inch space on all four sides. Start on the long end and roll up the dough. Refrigerate another 30 minutes before slicing.
Slice the roll into ½ inch thick slices. (I cut my with dental floss.) Lay the slices on a baking sheet and bake for 12-15 minutes until slightly golden at the edges.