To make Pastry: Combine flour, sugar, baking powder and salt in a large mixing bowl. Add the butter, eggs, vanilla and milk. Stir into a smooth dough. Remove dough from bowl and shape into a circle. Cut into 4 equal pieces, wrap in plastic and chill.
To make the Filling: Use the zest and juice of the orange and place in large bowl. Mix in figs, raisins and nuts. Process in food processor until evenly chopped. Stir in honey, rum and cinnamon, and set aside.
Preheat oven to 400 degrees F (200 degrees C). Grease cookie sheets.
Remove dough from refrigerator. Roll one piece of dough at a time into an 8-inch wide strip about 1/4-inch thick. Cut lengthwise in half, forming two long strips, each about 4 inches wide. Lay strips on work surface. Brush top inch of each with cold water. About 1/3 of the way up from the bottom of the dough, place 1/4 of the filling in a 1-inch wide strip, running from end to end. Fold the moistened edge of the dough over the filling and press to seal edges. Cut each strip into 1-inch rectangles and place on cookie sheets. Repeat with remaining sections of dough.
Bake 13 to 16 minutes, or until tops are golden. Let cool on cookie sheets for 10 minutes. Transfer to wire racks.