Preheat oven to 190 degrees C. Grease baking trays.
Sift together the flour, baking powder, cinnamon and nutmeg, set aside. In a medium bowl, cream the butter and sugar. Stir in the egg, milk and orange zest. Add dry ingredients, mix until well blended. Then stir in the quick oats, cranberries and nuts.
Drop dough by tablespoons onto the prepared baking trays about 5cm apart. Bake for 10 to 12 minutes in the preheated oven, biscuits should be lightly browned. Remove to cool on wire racks.
In a small bowl, stir together the icing sugar, orange zest and vanilla. Stir in the orange juice 1 tablespoon at a time until desired consistency is reached. Drizzle onto cooled biscuits.