Combine all dry ingredients in a bowl: flour, sugar, baking powder, nutmeg, and grated orange zest. Set aside.
Whisk the egg for about a minute, then gradually whisk in the milk and vanilla until thoroughly combined.
Pour the liquid mixture with dry ingredients, a little at a time. Mix until thoroughly combined.
Finally, add melted butter and fold in. It will be a little runny, but that’s okay.
Heat aebleskiver or fry pan on medium heat, add about ½ teaspoon or more of oil, and brush the wells with the oil.
Make sure the pan is hot enough before adding the batter. Fill the wells about ½ full. Then quickly add about ¾ teaspoon of Nutella over the batter in each hole.
Add more pancake mixture over the Nutella, filling each hole.
Cook for 1-2 minutes until the bottom is golden brown. You should see the batter bubble, then gently push to the side of the pan and quickly flip them using two chopsticks or a fork. Continue cooking on the other side until golden brown.
Repeat this process until all the batter is finished.
Let them cool slightly, dust with confectioner’s sugar, and serve.