Cover two baking sheets with nonstick baking paper. Place the polenta, flour, ground almonds, baking powder, icing sugar and butter in a food processor and whiz until the mixture resembles fine breadcrumbs, or rub in by hand in a large bowl.
Stir in the egg yolk and orange rind and bring together to make a dough. Wrap closely in clingfilm and chill for 30 minutes.
Remove the dough from the refrigerator and roll out thinly on a surface dusted lightly with flour. Cut into 20 rounds with a 4 cm (1½ inch) cutter. Transfer to the prepared baking sheets, sprinkle with the almonds and place in a preheated oven, 180°C (350°F), Gas Mark 4, for about 8 minutes until golden. Remove the cookies from the oven, leave for a few minutes to harden, then transfer to a wire rack to cool.