For filling, melt butter in a heavy medium skillet over medium heat. Add onion and saute until soft, about 6 minutes. Mix in Port and cook until liquid evaporates, stirring occasionally, about 5 minutes. Transfer onion mixture to a medium bowl. Add parsley, breadcrumbs, walnuts, thyme and orange peel to the mixture. (Filling can be prepared to this point 1 day ahead. Cover and refrigerate. Bring to room temperature before using.) Mix in egg.
For tenderloin, place meat on work surface. To butterfly, cut 2/3 through tenderloin down length of meat. Open meat as for book. Make another lengthwise cut down the center of each cut side, cutting 1/3 through. Press to flatten. Rub mustard over both sides of meat. Season with salt and pepper. Arrange meat cut side up. Spread filling over meat leaving 1" border on all sides. Fold in half lengthwise, enclosing filling. Tie string around tenderloin at 1" intervals to hold shape. (Tenderloin can be prepared up to 6 hours ahead. Cover and refrigerate.)
Preheat oven to 400 F. Place tenderloin in roasting pan and brush with butter. Roast until thermometer inserted in thickest part of meat registers 120 F for rare, basting occasionally with butter, about 35 minutes. Let stand 10 minutes. Remove string and cut into 3/4" thick slices.
Accompany the tenderloin with some oven-roasted and crusty French Bread. Pour a rich red wine, such as a Bordeaux or a Cabernet Sauvignon.