In a medium bowl, combine coconut flour, tapioca flour, baking soda, salt and coconut sugar. Mix until everything is incorporated.
Add chilled coconut oil to the flour mixture. Using a fork, cut the coconut oil in until the mixture is crumbly.
In a small bowl, combine eggs, milk, vanilla and orange zest. Whisk together until well blended.
Pour the contents of the small bowl into the flour mixture. Carefully mix to combine until the batter has an even consistency.
Add orange juice and walnuts to the scone batter, stirring again to work the flavor in. Let batter sit for a few minutes to allow the coconut flour to absorb liquids.
Scoop the batter onto a baking sheet lined with parchment paper or a silicone baking mat. Using your hands, form the batter into a circle, flattening it to be between 1/2″ and 3/4″ thick.
Using a knife or bench knife, slice the circle into 8 wedges.
Bake the scones for 20 to 23 minutes in a 375, or until they’re slightly golden brown.
Remove the scones from the oven, and cool for about 10 minutes.
When the scones are completely cool, put them in an air tight container and store in the fridge for up to 4 days.