It is important that all ingredients are at room temperature.
Place the sugar in the bowl and pulverize for 30 seconds/speed 10. Transfer to a bowl and set aside. Add the lemon zest and orange zest to the bowl and chop for 30 seconds/speed 10. Transfer to a bowl and set aside. Rinse the bowl.
Place the milk and vanilla seeds in the bowl, heat for 2 minutes/37°C/speed 1.
Add the yeast, 20 g of flour, 20 g of sugar, and mix for 30 seconds/speed 4. Let it sit for 10 minutes with the bowl covered to activate the yeast.
Separate the egg yolks from the whites, placing only 4 egg whites in a bowl. Store them in the refrigerator until you use them for the filling. After 10 minutes, add the softened butter, egg yolks, reserved sugar, citrus zest, half of the flour (390 g), and salt to the bowl. Mix for 30 seconds/speed 5.
Add the remaining flour (390 g) and knead twice for 3 minutes each (Dough/Kneading function). During kneading, gradually pour the oil through the hole in the lid. If you prefer a more elastic dough, repeat the kneading process for an additional 3 minutes.
Transfer the dough, using a little oil to prevent it from sticking to your hands, into a large bowl greased with a bit of oil. Let it rise until it doubles in size, approximately 1.5 hours. Cover the bowl with a kitchen towel and leave it in a warm place to rise.
Preparation Method for Walnut and Dark Chocolate Filling
To enhance the flavor of the filling, roast the walnut kernels in a preheated oven at 180°C for 8-10 minutes. Allow them to cool completely.
Wash and dry the bowl thoroughly. Place the sugar in the bowl and pulverize for 10 seconds/speed 10. Transfer to a bowl and set aside.
Place the walnuts in the bowl and chop for 7 seconds/speed 6. Wash and dry the bowl thoroughly.
Place the chocolate broken into pieces and 20 ml of milk in the bowl. Melt for 4 minutes/60°C/speed 2. Transfer to a bowl and set aside.
Wash the bowl thoroughly and dry it completely. Place it in the refrigerator for 10 minutes to cool, if desired. Attach the butterfly whisk to the bowl. Add the egg whites to the bowl and whip for 4 minutes at speed 3.5, until soft peaks form.
Add the ground walnuts, powdered sugar, cocoa powder, warm milk, and rum to the bowl. Mix for 40 seconds at speed 3.5 until well combined.
Ingredients for Walnut and Turkish Delight Filling
Divide the mixture into two parts. In one of the bowls, add the melted chocolate and mix until well combined. Cut the Turkish delight into small pieces and set aside.
Assembly
Divide the dough into two equal pieces. Lightly grease the surface where you will roll out the dough with a little oil. Roll out the first piece of dough into a rectangular sheet and spread one of the two fillings evenly over it.
Begin rolling the dough tightly from one long side of the rectangle. Repeat the process with the second piece of dough, spreading the second filling evenly. Add the Turkish delight pieces sporadically as you roll.
If you want to achieve a babka-style cozonac, cut each piece lengthwise. Cross the dough strips over each other, creating a braided pattern, or twist them to create a woven appearance.
Prepare two loaf pans by greasing them lightly with oil and lining them with baking paper. Place the two cozonacs in the prepared pans. Cover them with a kitchen towel and let them rise for another hour.
Preheat the oven to 160°C.
Brush the cozonacs with beaten egg and bake for 50-60 minutes at 160°C.
If the cozonacs start to brown too quickly, cover them with a sheet of baking paper and continue baking.
Remove the cozonacs from the oven and perform the toothpick test to ensure they are fully baked. Let them rest for 20 minutes, then carefully remove them from the pans.
In a saucepan, combine the water, sugar, and rum. Bring to a boil and simmer for 7 minutes, stirring occasionally, until the syrup thickens slightly. Brush or pour the syrup evenly over the cozonacs to soak them. Allow them to cool completely before slicing.