In a mixing bowl, combine the warm milk and active dry yeast. Let it sit for about 5-10 minutes until it becomes frothy.
In another bowl, whisk together the all-purpose flour, sugar, and salt. Create a well in the center and add the yeast mixture, vegetable oil, and egg.
Mix until a dough forms, then knead for about 8-10 minutes until smooth and elastic. Let it rise in a lightly oiled bowl for about 1 hour.
Prepare the filling by combining the poppy seeds and boiling water. Let it sit for 10 minutes, then mix in the ground almonds, sugar, vanilla extract, lemon zest, and orange zest.
Once the dough has risen, punch it down and roll it out into a rectangle about ¼ inch thick.
Spread the poppy seed mixture evenly over the rolled-out dough, then roll it into a log, sealing the edges.
Place the roll seam-side down on a baking sheet lined with parchment paper. Brush the top with the beaten egg and let it rise for another 30 minutes.
Bake in a preheated oven at 350°F (175°C) for 30-35 minutes until golden brown. Allow to cool slightly before slicing.
