Mix the flour, sugar, orange peel, butter, egg and salt. Dissolve the yeast in the lukewarm milk, add to the flour and knead everything well. Let the dough rise in a warm place for at least 1 hour.
For the filling, briefly toast the grated almonds without fat in a pan and let them cool. Mix in the sugar, orange baking and orange peel, as well as the juice of 1/2 lemon, a little orange juice and cream until the filling is soft but not runny.
Roll out the dough into a rectangle, approx. 1/2 cm thick. Spread the filling thinly on the dough, roll up the dough from the narrow one. Cut 2-3 cm thick slices and place on a baking sheet lined with baking paper. Let the dough rolls rise for another hour.
Heat the oven to 160 degrees, brush the dough snails with a little milk and then bake for about 20-25 minutes.
Mix some powdered sugar with a little orange and lemon juice and brush the still warm yeast rolls with it.