Dissolve the yeast in the warm water (105 to 115 degrees); set aside.
Scald milk. (Scalding is cooking a liquid to just below the boiling point.)
Add shortening, sugar and salt. Cool to lukewarm.
Place in mixing bowl. Stir in about 2 c of the flour and beat well.
Add eggs and mix well.
Stir in yeast, orange peel and juice and remaining flour (or enough to make a soft dough).
Cover and let rest 10 minutes.
Turn dough out on a lightly floured surface.
Knead until smooth and elastic, about 8 to 10 minutes.
Or place dough in mixer and, using the dough hook, mix until the dough is smooth and elastic.
Place dough in a lightly greased bowl, turning once to grease surface.
Cover bowl and let rise in a warm place until doubled, about 2 hours.
Punch down, cover and let rest 10 minutes.
Divide dough in half. Roll each half to a 12×9 inch rectangle, 1/4 inch thick.
Spread each with filling.