For the cookies: Heat the oven to 350 °F. Line two baking sheets with parchment paper. Process toasted nuts, granulated sugar, cinnamon, cardamom, and nutmeg in a food processor to a fine meal, 30 to 60 seconds, stopping and scraping the sides as needed. Add the orange and lemon zest, and continue to process until combined, about 15 seconds; set aside.
In a small bowl, whisk together the flour, cocoa, and salt; set aside. In a large bowl, beat the butter and brown sugar together using an electric mixer at medium speed until light and fluffy, about 2 minutes, scraping down the sides of the bowl as needed. Add the eggs and vanilla, and continue to mix until incorporated. Add the flour mixture and continue to mix until combined, about 1 minute. Add the ground nut mixture and continue to mix until evenly combined.
Portion 2-tablespoon-sized mounds of dough (you can use a small ice cream scoop), spaced about 1 1/2 inches apart, onto the baking sheets (each sheet should hold about 10 cookies and you should have enough dough left for another sheet of cookies).
Bake the cookies until the edges are firm and the tops are puffed with tiny cracks, 13 to 18 minutes, rotating and switching the sheets halfway through the baking time. Set the cookies aside to cool on the baking sheets until set, about 5 minutes, then transfer the cookies to a wire rack to cool completely. Reline one of the baking sheets with parchment paper, portion out the remaining dough into cookies, and bake as directed.
For the glaze: When the cookies are cool, whisk the confectioners’ sugar and milk together in a medium bowl until smooth and incorporated. (If the glaze begins to dry out as it sits, add water, 1 teaspoon at a time, to loosen.) Using a pastry brush, brush a thin layer of the glaze over the tops of the cookies, and let sit until the glaze has set, about 10 minutes.