In a mixing bowl add in the warm water, milk, yeast, & sugar. Give it a quick mix & let it sit until the top is completely foamed up.
Add in the butter & egg and mix again, just until the egg in separated. Then add in the flour. Mix until a dough forms.
Cover with a towel and let it rise for about an hour.
Lay it on a floured surface and roll it out until it's about 1/4" thick.
Mix together the filling ingredients and then spread on the dough. Roll the dough, starting at the top, until you've got one big roll. Then cut into 2-3" rolls and place into a greased extra large baking dish. Cover and let rise for another 30-60 minutes. Preheat your oven to 350 while your rolls are rising! Then bake for about 20 minutes.
While the rolls are baking, whisk together the glaze ingredients (save some orange zest for the garnish if you'd like)!
Once the rolls are done baking let them cool for a few minutes, just until they are slightly warm, then pour on the glaze. Enjoy!