In a large bowl, rub together granulated sugar and orange zest with your fingers until sugar is yellow in color. Whisk in 2 egg yolks, 1 egg white, butter, almond extract, anise seeds, and vanilla extract until smooth. Fold in flours, baking powder, salt, and baking soda until no dry spots remain and dough holds its shape. Optional: Cover and transfer to freezer to chill 30 minutes.
Preheat oven to 350°. Line 2 large baking sheets with parchment. On a work surface sprinkled with sesame seeds, divide dough into 8 portions. Roll each portion to a 1/2"-thick rope. Cut each rope into 1 1/2"-long pieces. Roll each piece to coat fully in sesame seeds.
Arrange cookies on prepared sheets, spacing about 1" apart. Bake until cookies are set and barely golden, about 10 minutes.
In a small bowl, whisk honey, water, and remaining 1 egg white until combined. Brush each cookie with a light layer of egg wash and continue to bake until golden, 7 to 10 more minutes.
Let cool completely before serving.
Make Ahead: Cookies can be made 1 week ahead. Store in an airtight container at room temperature.