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In a medium saucepan add milk, sugar and orange zest and juice. Bring to a medium heat and cook until it begins to thicken.
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Dissolve the cornstarch in cold water. Add the semolina, cornstarch, and water to the cream. Cook until it coats the back of your spoon about 3-4 minutes.
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Remove from the heat, and add the eggs one at a time, stirring constantly. Place back on a low setting and cook the mixture, until thickened.
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Remove from the heat and add the butter. Let cool slightly.
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Pre-heat oven to 350 degrees.
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Lay out one sheet of phyllo on wax or parchment paper. Brush with butter. Repeat with one more sheet. Cut in 1/2 lengthwise.
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Place 2-3 tablespoons of mixture on the bottom of the sheet. Fold phyllo over cream and roll, folding sides inward as you roll.
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Place seam side down on a buttered sheet pan, and brush with butter.
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Bake in the oven for 25-30 minutes or until lightly brown.
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Sprinkle with powdered sugar and cinnamon and serve warm.