In a small bowl, dissolve yeast in water. In a large bowl, combine the milk, orange juice, sugar, shortening, peel and salt. Add 2 cups flour, yeast mixture and egg; mix well. Add enough remaining flour to form a soft dough.
Turn onto a floured surface; knead until smooth and elastic, about 8-10 minutes. Place in greased bowl, turning once to grease top. Cover and let rise in a warm place until doubled, about 1 hour.
Punch dough down and divide in half. Cover and let rest for 10 minutes. Roll each portion into a 15-in. x 7-in. rectangle.
For filling, combine sugar and cinnamon; sprinkle over rectangle. Sprinkle each with 1 teaspoon water. Roll up, jelly-roll style, starting with a short end. Seal edges. Place each seam side down in a greased 8-in. x 4-in. loaf pan. Cover and let rise until doubled, about 1 hour.
Bake at 350° for 30-35 minutes or until golden brown. Remove from pans and cool on wire racks. Combine glaze ingredients; spread over loaves. Yield: 2 loaves (12 slices each).