First, make the syrup. In a casserole, pour in the water, sugar, vanilla and orange juice. Boil for 5 min. and leave it to cool.
Make the filling. In a bowl, beat the egg, sugar, the yoghurt with baking soda already beaten in it, the oil and cinnamon. Cut the Turkish delight into cubes. Take 2 sheets of phyllo pastry, sprinkle 1 with oil, place the 2nd sheet on it and smear with 3-4 tbsp of the filling.
Arrange the Turkish delight pieces at one end and sprinkle some ground walnuts all over the sheet. Wrap up the 2 sheets together in a roll. Do this for the rest of the phyllo pastry sheets.
If you have 3 sheets left over, you can make another roll with them as well. Arrange the rolls in an oiled oven dish. Cut the rolls into pieces with a knife, pour oil in the cuts.
Heat the oven to 356°F (180 °C), put the oven dish in it and bake 25 min. until reddened. Take it out and pour the cooled syrup over it. Leave it overnight to soak in. It's juiciest and tastiest the next day. You'll impress everyone with this aromatic and sweet phyllo pastry! Enjoy!