In US you have 2 options to score good alternatives to Jaffa Cakes.

If you have Walmart or other major grocery store, look for Pim's:

http://www.walmart.com/ip/Lu-Pim-s-Orange-Soft-Biscuits-With-Orange-Filling-5.29-oz/15556489

Alternatively, if you have a Polish store around, look for Wedel Delicje Biscuits:

http://www.amazon.com/Delicje-Biscuit-Topped-Chocolate-Filling/dp/B000LRFVVU/ref=sr_1_3?s=grocery&ie=UTF8&qid=1396919973&sr=1-3&keywords=Wedel+Delicje+Biscuits