In a large bowl, combine the flour, sugar, yeast, and salt. Mix well.

In another bowl, whisk together the warm milk, melted butter, egg yolks, vanilla extract, lemon zest, and orange zest.

Add the wet ingredients to the dry ingredients and stir until a soft dough forms.

Knead the dough for 5-10 minutes on a floured surface until it becomes smooth and elastic.

Place the dough in a greased bowl and cover it with a towel. Allow it to rise for 1-2 hours or until it has doubled in size.

In the meantime, make the filling by combining the cream cheese, powdered sugar, vanilla extract, and egg yolk. Mix well and set aside.

Once the dough has risen, punch it down and roll it out on a floured surface into a long, thin rectangle.

Spread the cream cheese filling over the dough, leaving a small border around the edges.

Place the plastic baby figurine somewhere in the filling, making sure it is hidden.

Roll up the dough tightly from the long side and shape it into a circle, pinching the ends together to seal it.

Transfer the cake to a greased baking sheet and cover it with a towel. Allow it to rise for another hour.

Preheat your oven to 350°F.

Brush the top of the cake with a beaten egg and sprinkle the colored sugars on top in alternating sections.

Bake the cake for 30-35 minutes or until it is golden brown.

Allow the cake to cool before serving.