Preheat oven to 350°F. Place 1 piecrust on a lightly floured surface, and roll into a 12-inch circle. Using a 3- x 2 1/2-inch rectangular cutter, cut piecrust into 12 rectangles. Repeat process with remaining 3 piecrusts to make 48 rectangles.
Place 24 dough rectangles 2 inches apart on 2 parchment paper-lined baking sheets. Top each rectangle with 1/2 tablespoon cranberry sauce, leaving a 1/2-inch border. Working 1 at a time, moisten dough edges with water, and top with remaining dough rectangles, pressing edges with a fork to seal.
Whisk together egg and milk in a small bowl; brush over tops of pastries. Cut 1 to 2 small X's in top of each pastry to allow steam to escape while baking.
Bake pastries in preheated oven until golden, 25 to 30 minutes. Transfer pastries to a wire rack; cool 15 minutes.
Stir together powdered sugar, zest, and 1 tablespoon of the orange juice in a small bowl. Stir in orange juice, 1 teaspoon at a time, up to 1 tablespoon, until mixture reaches desired consistency and is smooth. Drizzle on pastries.