Parboil the saffron with boiling milk and let it sit until cool. Mix the yeast with a pinch of salt, sugar, 2 tablespoons of milk and 1 teaspoon of flour. Once the yeast rises, mix with the flour, the remaining milk, saffron, butter, rose water and egg yolks.
Knead a cozonac dough, which needs to rise in a warm place. Then roll out the dough into a sheet with a thickness of about 1/4" (6 mm). Smear it with the melted butter and orange peel jam and then roll it up.
With a knife, dipped in hot water, cut the cozonac into pieces about 1/2″ (1 cm) thick. Arrange them in a well-buttered baking dish. Beat the egg yolk with the milk and brush the snails, then sprinkle them with sugar.
Preheat the oven to 356°F (180 °C) and bake for about 20 minutes.