Heat the oven to 350° and line a baking sheet with parchment paper. Combine all the filling ingredients in a medium saucepan. Over medium heat, cook the mixture, stirring occasionally, until the fruit breaks down and the mixture is soft, about 15 to 20 minutes. Place the filling in a food processor and pulse until smooth. Set the filling aside to cool.
Meanwhile, make the dough. In a small bowl, sift together the flour, baking soda, salt, and cinnamon. With a stand mixer set on medium speed, beat together the butter and sugar until the mixture is light and fluffy. Reduce the mixer's speed to low and add the egg, vanilla extract, and orange zest and blend well. Slowly add in the flour mixture and continue blending until a soft dough forms.
On a lightly floured surface, roll out the dough into a 10 by 12 inch rectangle. Use a pastry scraper or a butter knife to slice the dough into six equal pieces by halving it crosswise and then cutting each piece lengthwise into three equal parts.
Spread an even layer of filling lengthwise down the center of each dough strip, leaving a 1 inch border on either side. Use the scraper or knife to lift and fold the long edges of each strip over its line of filling, overlapping the edges. Gently press each cookie bar along the seam to seal it, then place it seam side down on the sheet.
Bake the bars until they're set and puffed slightly, about 15 minutes. They will not brown on the edges, but will darken on the bottom. Let the bars cool on a rack, then slice each one into six even pieces. Store the cookies in an airtight container until ready to serve.