Toast the almonds, either in a dry pan over medium heat (stirring occasionally), or in a shallow pan in the toaster oven, for about 5 minutes or until golden brown and fragrant.
Place the almonds in a food processor or mini-chopper, and pulse a few times, until they are coarsely chopped.
Transfer the chopped almonds to a bowl and add the flour, salt, and orange zest. Toss to combine.
Preheat the oven to 350 degrees F and line (3) half-sheet pans with parchment paper.
Place the sugars, cream, and butter in a small pot and cook over medium heat, stirring constantly, until the sugars are dissolved and the butter is melted.
Increase the heat to high and bring to a boil.
Remove from heat and pour the hot sugar mixture over the almond mixture. Stir to combine, and use a 2 tablespoon cookie scoop to drop the batter onto the prepared cookie sheets. (Allow at least 3 inches in between; cookies will spread during baking.) Bake for 10-12 minutes, or until golden brown. Remove from the oven and cool on the baking sheets for 3 minutes, then lift with a thin spatula, and carefully form the cookies around the tube of a turkey baster, while still very warm and pliable.
Slide the turkey baster out of the shells and cool completely. Fill with Pumpkin Cannoli Cream.