Prepare baking sheet for cooling: Line a baking sheet with parchment paper or a silicone baking mat.
Prepare the glaze by adding the brown sugar, cinnamon, salt, vanilla, water, orange zest, and cayenne to a medium skillet. Set it over medium heat and cook, stirring frequently, until the brown sugar melts and turns into a bubbling sauce, about 1 minute.
Add the nuts by stirring in the pecans so they are fully coated in the brown sugar sauce. Cook, stirring constantly, for 2 to 3 minutes, until the pecans look glossy and smell toasted. As they heat, the sauce will cling to them and become shiny. Keep a close eye on the pan to prevent burning. If the glaze thickens or turns grainy before evenly coating the nuts, stir in 1 to 2 teaspoons of water and continue mixing to help the sugar dissolve and create a smooth, even coating over each pecan.
Let them cool by moving the candied pecans to the prepared baking sheet and spreading them into a single layer. Leave them to cool completely, then separate any clusters before serving.
