In a bowl, combine the flour, sugar, baking powder and salt; cut in butter until mixture resembles coarse crumbs. Combine the egg, cream and orange zest. Stir into dry ingredients just until moistened.
On a greased baking sheet, pat dough into an 8-in. circle; cut into eight wedges. Do not separate wedges. Make a thumbprint in each wedge, about 1/4 in. deep. Fill indentation with jelly. Bake at 400° for 13-15 minutes or until golden brown. Serve warm.