Dissolve yeast in water. In a mixing bowl, combine milk, orange juice, sugar, butter, orange peel and salt. Add 2 cups flour, yeast mixture and egg; mix well. Add enough remaining flour to form a soft dough. Knead on floured surface until smooth and elastic, about 8 to 10 minutes. Place in greased bowl, turning once to grease top. Cover and let rise in warm place until double, about 1-1/4 hours.
Punch dough down and divide in half. Cover and let rest for 10 minutes. On lightly floured surface, roll each half into a 15 inch x 7 inch rectangle. For filling, combine sugar and cinnamon; sprinkle over each rectangle. Sprinkle each with 1 teaspoon water. Starting with short side, roll up; pinch edges to seal. Place with sealed edge down in two greased 8 inch x 4 inch x 2 inch loaf pans. Cover and let rise in warm place until double, about 1 hour. Bake at 350 °F. for 30 to 35 minutes or until golden brown. Remove from pan and cool on wire racks. Combine glaze ingredients; spread over loaves.