Step 1
Combine warm water and yeast together in a large bowl. Let stand until yeast softens and begins to form a creamy foam about 5 minutes.
Step 2
Stir 3/4 cup lukewarm milk white sugar shortening 1 egg and salt into yeast mixture. Mix flour into yeast mixture until a soft easy to handle dough forms.
Step 3
Turn dough out onto a lightly floured surface and let stand for 10 minutes. Knead dough until smooth and elastic about 8 minutes. Form dough into a ball.
Step 4
Place dough in a large lightly-oiled bowl and turn to coat. Cover bowl with a damp towel and let rise in a warm place until doubled in volume or until a hole remains when your finger is pressed deeply into the dough about 2 hours.
Step 5
Punch down dough and turn onto a lightly floured surface. Shape into ball and let dough rest for 15 minutes.
Step 6
Beat brown sugar butter and 1 egg together in a bowl until creamy. Add 1/4 cup milk vanilla extract and lemon extract; stir until smooth. Stir walnuts into the filling mixture until walnuts are completely incorporated.
Step 7
Roll dough on a large floured cloth into a 20x30-inch rectangle. Spread walnut filling evenly over the top of the dough spreading to the edges. Roll the rectangle up along the long edge like a jelly roll and pinch edges to seal. Coil the roll into a snail-shape.
Step 8
Grease a 9x13x2-inch baking sheet. Place shaped dough on the prepared sheet and let rise until an impression remains when the dough is gently pressed about 1 hour.
Step 9
Preheat oven to 325 degrees F (165 degrees C).
Step 9
Bake in the preheated oven until the top is golden brown 40 to 45 minutes.