Heat milk until lukewarm. Transfer to a bowl and add the yeast. Let sit until foamy, about 10 minutes.
Meanwhile, in the bowl of your stand mixer fitted with a paddle attachment combine flour; sugar and salt.
Add cubed butter and process until the butter is fully incorporated into the dough. Stir in the orange zest.
At this point, switch the paddle attachment for a dough hook. Pour the yeast mixture into the flour mixture and process until combined.
Lightly beat the egg with the vanilla extract in a small bowl and add to the dough. Knead for 7-8 minutes until the dough is smooth, soft and elastic.
Cover with plastic wrap and place in a warm place until doubled in bulk, about 3 hours.
Prepare the filling
Meanwhile while the dough rests, prepare the filling.
Peel, core and cut apples into cubes.
Place apples, butter, cinnamon, and brown sugar in a large skillet. Cover and cook 10 minutes, allowing the apples to soften.
Uncover and cook 5-10 minutes longer until the mixture is thickened and the apples are tender. If desired, mash the apples with a potato masher.
Set aside to cool completely.
Assemble and bake
Grease a 9 x 13 inch baking dish with butter.
On a lightly floured surface, use a rolling pin to roll the dough into a 12 x 18 inch rectangle.
Spread the cooled apple filling evenly over the dough leaving a 1 inch border all around the edges.
Roll tightly into a log from one of the long edges. Trim off the end pieces which don't have much filling in them (bake separately).
Use a sharp knife to cut into 12 even slices. Alternately, use unflavored, unwaxed dental floss to make clean neat cuts. Place on the prepared baking dish, cover and let rise for 45 minutes.
Preheat oven to 350 degrees F.
Bake for 30-35 minutes until golden brown.
Once out of the oven brush the rolls with honey for extra sweetness (optional) or dust with powdered sugar once cooled.
Enjoy warm or at room temperature.
Notes
Substitutions and Variations-Try adding nuts and/or raisins to the apple filling. After it has cooled, stir in a handful of raisins and/or chopped nuts such as pecans, almonds or walnuts. -The orange zest may be omitted if you're not fond of the combination of apples and orange.Can the brioche dough be made without a stand mixer?Yes it can! Place dry ingredients in a bowl; use your fingers or a pastry cutter to cut in the butter; stir in the yeast mixture, then the beaten egg and vanilla with a wooden spoon. Transfer the dough onto a lightly floured surface and knead for about 15 minutes until smooth and elastic.Make AheadHere are a few make ahead options: -Prepare the apple pie filling a day ahead, keep refrigerated. -Place the proofed dough (step 6) in the fridge overnight. Bring it back to room temperature (about 2 hours) before shaping and proceed with the recipe. -Assemble the rolls (step 5), refrigerate overnight. Bring to room temperature (2 hours) before baking.StorageIdeally, these are best enjoyed the day they are made. Keep leftovers (if you have any!) well wrapped at room temperature for up to 3 days.To FreezeFreeze well wrapped in plastic for up to 3 months. Defrost overnight at room temperature and serve. They may be warmed in a 350 degrees F oven for a few minutes.