In a small bowl, combine warm milk, sugar, and yeast. Let sit 5–10 minutes until foamy.

In a large bowl, whisk eggs, melted butter, vanilla, salt, and zest.

Add the yeast mixture, then gradually stir in flour until a soft dough forms.

Knead on a floured surface for 8–10 minutes , until smooth and elastic.

Place in a greased bowl, cover, and let rise 1–1½ hours , until doubled.

In a bowl, mix walnuts, cocoa, sugar, and milk to form a spreadable paste.

Add rum or vanilla for flavor if desired.

Divide dough into two equal portions.

Roll each into a rectangle about ¼ inch (6 mm) thick.

Spread filling evenly over each piece, then roll tightly into a log.

Twist the two rolls together or place side-by-side in greased loaf pans.

Cover and let rise another 30–45 minutes .

Brush with egg wash and bake at 350°F (175°C) for 45–50 minutes , until golden.

Cool before slicing; dust with powdered sugar if desired.