Place yogurt, cranberries, and the orange zest into a blender. Process until cranberries are well chopped. Then, add four and process until combined. Transfer the dough into a lightly floured board and knead it until it is smooth and not sticky. Add flour as needed.
With a floured rolling pin, roll the dough 3/4-inch thick. Flour a 3-inch cutter and cut shapes out of the dough. Place the scones on a baking pan lined with parchment paper. Whisk egg and water together in a small bowl and then, brush the tops of scones with it. Bake for about 20 minutes, until the tops are browned and the insides are fully baked.