1. Dough: Pour milk into a small bowl. Sprinkle yeast evenly over milk, and let stand until foamy, about 5 minutes. Stir in sugar, butter, egg, orange zest, and salt. Stir in flour (dough will be very soft and wet). Place dough in a buttered bowl, cover with plastic wrap, and let rise in a warm place until doubled, about 1 hour. Punch down dough, and press into the bottom of an 8-inch round plain or fluted cake pan, making edge slightly higher than center. Cover, and let rise until puffed, about 45 minutes.

2. Filling: Preheat oven to 350 degrees. Whisk together all filling ingredients until smooth. Press down center of risen dough, then pour in filling. Bake until golden brown around edge (filling will still be wobbly but will continue to set as it cools), about 30 minutes. Let cool on a wire rack. Serve slightly warm or at room temperature straight from the pan.