Zest 1 orange and 1 lemon and set aside.
Chop the dried cranberries and walnuts and set aside.
Combine the sugar and the cinnamon and mix to incorporate.
Place one of the rolled out pieces of dough on your work surface with the long side facing you. Spread 75 grams of the jam out onto the dough. Leave a small border along the sides and top of the dough.
Sprinkle a quarter of the zest, 40 grams of the chopped cranberries, and 40 grams of the chopped walnuts on top of the dough. Use a spoon to spread all the ingredients out into an even layer. Sprinkle a spoonful of cinnamon sugar over the top of everything.
Starting with the end closest to you, start rolling the dough up away from you, taking care to keep the roll tight. Finish the roll with the seam facing down. Using a fork, tamp down the ends of the roll to seal it.
Transfer the roll to a prepared baking sheet lined with parchment paper.
Repeat with the other three pieces of dough so you have four rolls in total.
Brush the rolls with milk and dust with the remaining cinnamon sugar.
Chill the rolls in the fridge on the prepared baking sheet for 30 minutes. Preheat the oven to 350 degrees Fahrenheit.
Make ¾" deep cuts in the rolls in 1" increments. Do not cut all the way through the rolls.
Bake the rolls in the center of the oven for 20 minutes and rotate the pan 180 degrees in the oven. bake for another 25-30 minutes or until the rugelach are golden brown on top.
Let the rugelach cool in the pan until completely cool, around 30 minutes. Transfer the rolls to a cutting board and finish cutting the rugelach into individual 1" pieces.
Serve the rugelach warm and store any leftovers at room temperature in an airtight container.