Preheat oven to 375°F. Line a baking sheet with parchment paper.
Beat cream cheese, sugar, orange zest, and vanilla until smooth and fluffy.
Unroll the dough and separate into 8 triangles on the prepared sheet.
Spread a thin layer of the cream cheese mixture on each triangle, leaving a small border.
Spoon a heaping teaspoon of cranberry sauce at the wide end of each triangle.
Roll from the wide end toward the tip, tucking in any exposed filling. Curve into crescents.
Brush tops with milk and sprinkle with coarse sugar.
Bake 11–13 minutes, until puffed and golden. Cool 5 minutes before serving.