Steps:
- Dough: Stir together 2 cups of flour, sugar, yeast, and salt; set aside. In a small saucepan, heat the milk and butter over low heat just until the butter is melted. Remove from heat, add water, and set aside until warm, about 1 minute. Add vanilla Pour milk mixture over yeast mixture and mix. Add eggs, one at a time, mixing after each addition just until incorporated. Stop the mixer, add 1/2 cup of remaining flour, and resume mixing on low speed until dough is smooth, 30-45 seconds. Add 2 more tbsp flour and mix until dough is smooth and slightly sticky, about 45 seconds. Sprinkle a work surface with flour. Knead gently until smooth and no longer sticky, about 1 minute. Place dough in a large bowl, cover bowl with plastic wrap, and let dough rise in a warm place until doubled in size, 45-60 minutes. While dough is rising, make filling. Filling: In a small bowl, mix together sugar, lemon and orange zests. Coffee cake: Preheat the oven to 350°F. Spray a 9x5x3 loaf pan. Gently deflate dough. On a lightly floured work surface, roll out dough into a 20x12" rectangle. Spread melted butter over the dough. Cut dough crosswise into 5 strips. Sprinkle 1 1/2 tbsp of the zest-sugar mixture over one of the buttered rectangles. Top with a second rectangle, then repeat, ending with a stack of 5 rectangles. Slice the stack crosswise through the 5 layers to create 6 equal strips. Fit layered strips into prepared loaf pan, cut edges up. Cover pan with plastic wrap and let dough rise in a warm place until puffy and almost doubled in size, 30-50 minutes. Bake coffee cake until the top is golden brown, 30-35 minutes. Let cool. Icing: In a medium bowl, mix cream cheese and sugar until smooth. Beat in milk and lemon juice until the mixture is creamy and smooth. Slip a sheet of waxed paper under the rack which the cake in on to catch any drips from the icing. Using a pastry brush, coat the top of the warm cake with the icing to glaze it.
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