To make the sponge, sprinkle yeast on top of warm milk. Wait until it becomes frothy.
Add flour and mix using a rubber spatula. Cover with plastic wrap sprayed with non stick spread or lightly greased with oil. Cover with a kitchen towel and leave for 30-40 minutes, until doubled in volume.
Meanwhile, work on the filling.
Place raisins in a saucepan with enough water to cover, about 1 cup. Bring to a rolling boil. Drain and transfer to a bowl.
Add orange peel and rum to the bowl. Sprinkle brown sugar on top.
In a skillet, melt butter. Add breadcrumbs and cook until breadcrumbs are golden, 2-3 minutes.
Add breadcrumbs to the bowl, along with the nuts. Mix until thoroughly combined.
Add egg. Mix until thoroughly combined
In the bowl of an electric mixer, combine eggs, egg yolks, sugar, vanilla and lemon zest. Mix to combine.
Using a rubber spatula, add the sponge.
Add flour and salt. Using dough hook attachment, mix until smooth. Cover with plastic wrap. Let it rest for 15 minutes.
Add the butter a little at a time and knead for 5-6 minutes, until the butter is well incorporated. This is a very soft and tacky dough, so don’t expect a light and elastic dough.
Place in a lightly oiled bowl and cover with greased plastic wrap and a kitchen towel. Leave to rise in a warm place until doubled in size, about 1 hour.
Lightly flour a cookie sheet and spread dough, using your fingertips, to a rectangle. It should almost fill the entire cover sheet. Cover with lightly oiled plastic wrap and leave in the refrigerator for 1 hour.
Spray a 3” deep cake pan with non stick spray or line with parchment paper.
Flip over onto a work surface dusted with flour. Roll into a rectangle 12x18”.
Spread nut mixture over the dough, leaving a 1” border. Roll into a cylinder. Shape it into a coil and drop into the prepared pan. Cover with greased plastic wrap and a kitchen towel. Leave to rise until doubled in size, about 10-12 hours.
Preheat oven to 350 F.
Bake for 60 – 75 minutes, until bread is golden and puffy and internal temperature reads 200 F on an instant read thermometer.