In the work bowl of food processor, process hazelnuts and walnuts until ground and uniform in size, 8 to 10 pulses. Add cookies; pulse until cookies are same size as nuts, 4 to 5 pulses. Add raisins, cocoa, cinnamon, and orange zest; pulse until raisins are combined and small clumps start to form.

In a medium saucepan, stir together wine, honey, and salt, and bring to a boil over medium heat. Stir in nut mixture. Add egg, and cook, stirring constantly, until glossy and slightly thickened and an instant-read thermometer registers 175°F (79°C), about 2 minutes. Pour mixture into a medium bowl, and stir in vanilla. Let cool completely before using.