It is important that all ingredients are at room temperature.
Grate the lemon zest and orange zest using a fine grater. Transfer to a bowl and set aside.
Place the milk and vanilla seeds in a small saucepan. Heat over low heat for about 2 minutes, stirring constantly, until the milk is warm (around 37°C). Be careful not to overheat it.
In a large bowl, add the yeast, 20 g of flour, 20 g of sugar, and the warm milk. Mix well with a whisk or a wooden spoon for about 30 seconds until smooth. Cover the bowl with a clean kitchen towel and let it sit for 10 minutes in a warm place to activate the yeast. The mixture should become frothy and slightly increase in volume.
Separate the egg yolks from the egg whites. Place only 4 egg whites in a bowl, cover them with cling film, and store them in the refrigerator to use later for preparing the filling.
To the yeast mixture, add the softened butter (at room temperature), egg yolks, powdered sugar, grated lemon and orange zest, half of the flour (approximately 390 g), and salt. Mix with a hand mixer fitted with dough hooks or a wooden spoon until the ingredients are well combined and the mixture becomes smooth and homogeneous (about 30 seconds at medium speed).
Add the remaining flour (approximately 390 g) to the initial mixture. Begin kneading by hand or using a dough mixer. Knead the dough for about 6 minutes, in two sessions of 3 minutes each. If kneading by hand, use your palms to push and stretch the dough. While kneading, gradually pour the oil (preferably sunflower oil) in a thin stream until it is fully incorporated. Ensure the dough remains soft and non-sticky. If you want a more elastic dough, continue kneading for an additional 3 minutes until the dough becomes smooth and easy to work with. The dough should be fine, elastic, and not stick to your hands or the sides of the bowl. If it is too sticky, add 1-2 tablespoons of flour, but do not overdo it.
Transfer the dough, using a little oil to prevent it from sticking to your hands, into a large bowl lightly greased with oil. Cover the bowl with a clean kitchen towel and let the dough rise in a warm, draft-free place until it doubles in size (approximately 2 hours).
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.
Place the walnuts on a cutting board and chop them with a sharp knife, or use a blender/food processor to roughly chop them for a few seconds until you reach the desired texture. Transfer the chopped walnuts to a bowl and set aside.
Place the chocolate, broken into small pieces, in a heatproof bowl. Add 20 ml of milk and melt it over a double boiler. Stir constantly until the chocolate is fully melted and smooth (approximately 4 minutes). Transfer the mixture to another bowl and set aside.
Place the egg whites in a large bowl and beat them with an electric mixer on medium speed for about 4 minutes, until they form a firm and glossy foam. Ensure the bowl and mixer beaters are completely dry and clean before starting.
Add the ground walnuts, powdered sugar, cocoa powder, warm milk, and rum essence to the bowl with the whipped egg whites. Gently fold the ingredients together using a spatula or wooden spoon with broad, upward motions, ensuring everything is well incorporated and the mixture is smooth. Avoid mixing too vigorously to retain the air in the egg whites.
Divide the prepared mixture into two equal parts, placing them in separate bowls. In one of the bowls, add the melted chocolate and gently mix with a spatula until the mixture becomes smooth and homogeneous. Cut the Turkish delight into small pieces using a sharp knife and set them aside in a bowl, ready for later use.
Divide the dough into two equal pieces. Lightly grease the surface where you will roll out the dough with a bit of oil. Roll out the first piece of dough into a rectangular sheet and evenly spread one of the two fillings over it.
Begin rolling the dough tightly from one long edge of the rectangle to the other. Repeat the process with the second piece of dough, spreading the second filling evenly. Add the pieces of Turkish delight sporadically as you roll.
If you want to achieve a babka-style cozonac, cut each roll lengthwise into two strips. Cross the strips over each other with the filling side facing up, 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 into 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, perform the toothpick test to ensure they are fully baked, and let them rest for 20 minutes. Then carefully remove them from the pans.
In a saucepan, add the water, sugar, and rum essence. Boil the mixture over medium heat for 7 minutes, stirring occasionally, until the sugar is fully dissolved and the syrup reaches a slightly thickened consistency. Brush or pour the syrup over the cozonacs and allow them to cool completely before slicing.