At least one hour before starting this recipe. Leave butter, milk, and eggs out to get to room temperature.
Preheat oven to 375 F. Line cookie sheets with parchment paper.
In a large bowl, sift the flour and baking powder together and set aside.
In the bowl of a stand mixer, add sugar and zest from one orange. Combine the two using your hands until the color changes and mixture is aromatic.
Add the cubed butter to the bowl and beat with the paddle attachment on high until light and fluffy, about 4 minutes. Don't forget to scrape down the sides of the bowl throughout mixing.
Add one egg, mix until fully combined, scraping down the sides as needed. Repeat with second egg and egg yolk.
Add the milk, juice from one orange (about 1/4 cup), and vanilla, and beat for 30 seconds. The mixture will look curdled.
At low speed, add the flour and baking powder mixture. Beat until mixture comes together into a soft texture but not sticky. If it's still sticky, add 1 tbsp more flour.
Cover the dough and chill for 30 minutes (optional).
With a cookie scoop or spoon, portion the dough into small balls. I had about 25 dough balls.
Starting with one ball of dough on a clean flat surface, roll into an even sized log about 6-8 inches long (no need to flour workspace). Shape into desired shape such as the classic twist shape.
To make a twist shape, fold the log so the two ends are touching each other and twist so it looks like a braid.
Place on parchment-lined cookie sheet at least 1 inch apart and brush the tops with egg wash.
Bake for 15-20 minutes until the bottoms are golden-brown and tops are beginning to golden. Broil for 1-2 minutes at the end for extra golden tops.
Allow to cool and store for up to 2 weeks in an airtight container.