Dissolve yeast with water, In a mixing bowl, combine milk, orange juice, sugar, shortening, peel and salt. Add 2 cups flour, yeast mixture and egg; mix well. Add enough remaining flour to form a soft dough. Turn onto a floured board; knead until smooth and elastic, about 8-10 minutes. Place in a greased bowl, turning once to greased top. Cover and let rise in a warm place until doubled, about 1-1/4 hours. Punch dough down and divide in half. Cover and let rest for 10 minutes. Roll each half into a 15 -in. x 7-in. rectangle. For filling, combine sugar and cinnamon; sprinkle over each rectangle. Sprinkle each with 1 teaspoon of water. Roll up, jelly-roll style, starting with short end. Seal edges. Place with sealed edge down in two greased 8-in. x 4-in. x 2-in. loaf pans. Cover and let rise until double, about 1 hour. Bake at 350 for 30-35 minutes or until golden brown. Remove from pan and cool on the wire racks. Combine glaze ingredients; spread over loaves.