Crumble the biscuits, not into crumbs, but rather coarsely. Cut the Turkish delight as finely as possible. Melt the butter a bit and pour it over the biscuits, Turkish delight, sugar, walnuts, coconut and spoon of rum. Beat the egg with the milk and add it to the mixture.
Stir with a wooden spoon or by hand until everything becomes homogenous. Shape the mixture into a roll and roll it up with parchment paper or foil.
Leave it for a few hours in the fridge to harden, then unroll and put it in a suitable dish. Optionally, garnish with powdered sugar.