Preheat oven to 350°.
Combine flour, baking soda, spices, and salt together in a bowl and set aside.
In a separate bowl, cream butter and sugar together. Next, add the egg and vanilla to that bowl and stir to combine.
Combine wet and dry ingredients into the same bowl and stir.
Next, pour cane sugar out onto a plate and set aside.
Using your hands, form cookie dough into balls, then roll the balls into the cane sugar, then place them on a baking sheet (you may need 2!). Using your thumb, gently press down into the center of each cookie, forming the thumbprint cookie.
Place baking sheet(s) in the oven and bake cookies for 10 minutes, or until the bottoms are slightly golden on the bottom, but be careful not to over-bake.
As soon as you put the cookies in the oven, start to make the filling.
Add all filling ingredients to a saucepan over the stovetop on medium-high heat, using a wooden spoon to break down the orange and cranberries. Once mixture comes to a low boil, reduce heat to a simmer until the mixture thickens and a compote or jam forms.
Once cookies are done, remove them from the oven and wait a couple minutes before using your thumb to press down on them again, making sure there's enough room in each cookie to fill them with the blood orange jam.
Next, spoon our a small amount--approx. 1 tbsp--of jam into each cookie, and then place the cookies back into the oven and bake them for an additional 5 minutes.
Remove cookies from the oven and onto a cooling rack.
Sprinkle with additional cinnamon and/or orange zest before serving, and enjoy!