Combine warm milk and water in bowl; add yeast. Stir to dissolve. Stir in 2 3/4 cups flour, sugar, butter, egg and 1 teaspoon salt until soft dough forms.
Turn dough out onto lightly floured surface. Knead dough, adding additional flour 1 tablespoon at a time, if necessary, 5-10 minutes or until dough is smooth. Place dough into greased bowl; turn greased-side up. Cover; let rise 45-60 minutes or until double in size.
Knead dough 30 seconds on lightly floured surface. Cover; let rest 10 minutes.
Roll dough into 15x10-inch rectangle. Combine jam and 1/8 teaspoon salt in bowl. Spread dough with jam mixture to within 1/2 inch of edge. Roll up, beginning with 15-inch side. Place onto large greased baking sheet. Form into circle; pinch ends to seal. Cut 3/4 the way through dough every 1 1/2 inches on outside edge with kitchen shears or serrated knife. Twist each section of dough, turning it on side to form ring. Cover; let rise 30-45 minutes or until double in size.
Heat oven to 350°F.
Bake 20-30 minutes or until golden brown. Remove from pan; cool completely on cooling rack.
Combine powdered sugar, 1 tablespoon orange juice and orange zest, if desired, in bowl. Add enough additional orange juice for desired glazing consistency. Drizzle over cooled bread.
Bread Machine Directions: Omit 1 (1/4-ounce) package active dry yeast. Substitute 1 1/2 teaspoons bread machine yeast, milk and water at room temperature. Use 3 cups all-purpose flour in place of 2 3/4 to 3 1/2 cups all-purpose flour. Read instruction manual of your bread machine. Prepare bread using dough cycle according to manual directions. Remove dough from bread machine; continue with shaping, rising and baking as directed above.