In large bowl, combine 1 cup flour, sugar, lemon peel, undissolved yeast, and salt. Heat milk, butter, and water until very warm (120 degrees to 130 degrees F); stir into dry ingredients. Stir in enough remaining flour to make soft dough. Knead on floured surface until smooth, about 4 minutes. Cover; let rest on floured surface 10 minutes.

Roll to 15- x 10-inch rectangle. Spread Date-Nut Filling over dough to within 1/2 inch of edges. Beginning at long end, roll up tightly as for jelly roll. Pinch seam and ends to seal. Place roll, seam side down, on greased baking sheet. Curve ends to make horseshoe shape. Cover; let rise in warm, draft-free place until almost doubled in size, about 30 to 45 minutes. Brush with beaten egg. Bake at 350 degrees F for 30 minutes or until done. Remove from sheet; let cool on wire rack. Frost with Powdered Sugar Frosting, if desired.

Date-Nut Filling: In small bowl, combine 3/4 cup imported chopped or snipped pitted dates, 3/4 cup ground walnuts, and 1/2 teaspoon Spice Islands Ground Cinnamon. Stir well.

Powdered Sugar Frosting: In small bowl, combine 1 cup powdered sugar, sifted; 4 to 5 teaspoons milk; and 1/2 teaspoon Spice Islands Pure Vanilla Extract. Stir until smooth.

Nutrition information per serving (1/14 of recipe): calories 239; total fat 11 g; saturated fat 5 g; cholesterol 34 mg; sodium 161 mg; total carbohydrate 31 g; dietary fiber 2 g; protein 5 g.