Step 1

Warm the milk, sugar and lemon zest in a small pan over a medium heat until the sugar is dissolved. Remove from the heat and add the butter, in small pieces. Stir to melt the butter in the heat of the liquid. Allow to cool until lukewarm (80-90F).

Step 2

Meanwhile, in a medium bowl add the yeast and salt to the flour and mix through. Also, separate the egg whites from the egg yolks into two small bowls. Chill the whites until needed later.

Step 3

Once the milk mixture has cooled, transfer it to a large bowl. Add the flour mixture, egg yolks and vanilla. Mix to bring the dough together, then knead the dough for a few minutes. (You can either mix with a spoon, then knead for a couple minutes with a stand mixer, or mix by hand and knead on a lightly floured surface for around five minutes.) Once kneaded into a smooth dough, bring the dough together in a ball.

Step 4

Lightly oil a bowl and add the dough. Cover with plastic or a damp tea towel and allow to rise at a warm room temperature for around an hour, until doubled in size.

Step 5

Towards the end of the rising time, blend the walnuts, sugar and cocoa powder together in a food processor to form a coarse powder. Separately, beat the egg whites until they form stiff peaks, then fold in the nut mixture. Chill until needed.

Step 6

Once the dough has risen, remove from the bowl and divide into two roughly even pieces. Take one of the pieces of dough, gently knock it back to reduce in size a little, then roll it into a square/rectangle roughly 11 inches square, or slightly longer in one direction.

Step 7

Take half of the nut filling mixture and spread it over the flattened dough, leaving around 1/2 in without the filling around the edges. Roll up into a log (as you would a cinnamon roll - you can roll either long or short edge, as you prefer, if you made it more rectangle-shaped). Don't make the roll too tight as you want to allow a bit of space for it to expand.

Step 8

Repeat with the other piece of dough and filling.

Step 9

Grease a loaf tin with butter. Take the two rolls of dough and twist them together all the way down. Carefully, place the twist in the loaf tin, tucking the ends under slightly, if needed. Cover with a damp cloth and leave to rise until it has almost doubled, roughly an hour again. (It may not fill out the tin but that is fine, it will expand more on baking).

Step 10

Just before it is ready to bake, preheat the oven to 350F/180C. Brush the top of the loaf with a lightly beaten egg, then sprinkle some raw sugar over the wash.

Step 11

Bake the loaf in the middle-bottom of the preheated oven for approximately 35-45 minutes, until it is golden brown on top and cooked through.

Step 12

Allow to cool slightly before removing from the pan to cool completely.