Combine all the dry ingredients together (flour, cake flour, instant dry yeast, sugar, and salt). Add the lukewarm milk, eggs, vanilla extract, vegetable oil and the orange zest. You can knead this by hand, or make it easy on yourself and use your mixer. Mix until the dough is smooth, add more flour as needed. The dough needs to be just a little bit sticky. Place the dough in an oiled bowl and let it rest in a warm place.

Let the dough rest until it doubles in size, usually about an hour.

Punch down the dough and roll out onto a slightly floured work surface. Roll it out so that it's a big rectangle about 14 inches (35 cm) by 18 inches (44 cm). It should be about 1/2 inch (1 cm) in thickness. Using a pastry cutter, a pizza cutter, or a knife, cut the dough into 2 3/4 x 2 3/4 inch (7 cm x 7 cm) squares.

Using your fingers make a small indentation into each square and place about 1 tsp of jam in the center. Carefully fold each square in half and pinch the ends together. The dough should be sticky enough so that it sticks together.

Repeat these steps until all rolls are made. Place the dough onto a buttered pan and brush some more butter on the sides of the rolls, so that they don’t stick together.

Preheat oven to 350 F degrees.

Brush them with egg wash, and let them rest for an additional 20 minutes. They will rise a bit more.

Bake them for about 25 to 30 minutes, until nice and golden brown.

Serve sprinkled with some powdered sugar.