In a small bowl combine dry yeast, 1/2 cup of the milk and 1 tbsp sugar. Cover and set a side for 10 minutes. In a large bowl, sift flour and add in salt.Set a side.
In a bowl (you can use a stand mixer) whisk together sugar and eggs, until sugar is dissolved. Add vanilla and then milk. Add in yeast and milk mixture and whisk to combine. Add 1/2 of the flour and mix until well combined.
At this time you can add the lemon juice, orange zest and lemon zest.
Gradually add the rest of the flour, mixing just until combined (I use my Kitchen Aid Stand Mixer with the dough hook of speed 4-6).
Dough should be soft and sticky.
Transfer the dough to a working surface and start kneading, slowly adding the softened butter with hands. Mix the butter in completely.
Transfer dough to a large greased and floured bowl and cover with plastic wrap. Let the dough rise at a warm place, until it doubles its size. This may take between 2-3 hours, depending on the temperature, humidity and types of ingredients used.
Prepare the egg wash for brushing the bread by whisking together 1 egg yolk, 2 tbsp milk. Keep in the fridge.
Preheat oven to 350F.
Divide the dough into 4 balls.
Cut each ball in half, then roll ropes and braid them together, leaving a spot in the middle to place the egg. Place eggs in the middle. Transfer the breads to a baking sheet and cover with plastic wrap, let them rise for 30-45 minutes, until they double their size.
Brush with egg wash and sprinkle with sugar or sprinkles.
Bake for 25-30 minutes, until toothpick inserted comes out clean and the top are golden. Let the breads cool at room temperature and store wrapped in plastic wrap in the fridge for op to 1 week.