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1
Combine the flour, yeast, sugar, and salt in a large bowl. Add one egg, the lukewarm milk, and the orange zest. Mix to a shaggy dough, then turn out and knead for eight minutes. The dough will be soft and sticky — wetter than a standard bread dough. Add the softened butter in three additions, working each fully into the dough before adding the next; knead for a further five minutes. The dough is ready when it is smooth, supple, and just barely pulls away from the work surface.
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2
Place the dough in a lightly oiled bowl, cover with a damp cloth, and leave to rise at room temperature until doubled in volume. The surface should be domed and the dough visibly airy.
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3
Divide the dough into six to eight equal portions, each roughly 80–90 g. Shape each piece into a smooth elongated oval — not a round — by rolling the dough gently under cupped hands, tapering the ends. Set on a lined baking sheet with generous spacing. Cover loosely and leave to proof until the rolls are pillowy and have spread noticeably, holding the indent of a fingertip only slowly.
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4
Heat the oven to 180 °C. Beat the remaining egg with a splash of milk and brush the surface of each roll lightly and evenly. Bake for 14 to 16 minutes. The maritozzi are done when they are pale golden — the crust should remain soft and yielding, not brown or crisp. An overtly golden crust signals overbaking; remove them while they still look slightly underdone.
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5
Transfer to a wire rack and allow to cool completely. A warm bun will melt the cream on contact; the rolls must be at room temperature before filling.
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6
This is where the dish lives or dies. Pour the well-chilled double cream into a cold bowl. Whip by hand or machine only to just-barely-holding-its-shape — soft, billowy peaks that slump when the whisk is lifted. The cream must not be stiff, nor should it be pourable. Add no more than one teaspoon of sugar, or none at all; sweetness here overwhelms the contrast with the bread. Undershooting this texture produces a collapsed, wet filling; overshooting produces a dense, grainy one.
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7
Split each roll along one side with a serrated knife, cutting almost but not quite through to the base, so the two halves remain hinged. Using a piping bag or a large spoon, fill the cavity with an exuberant quantity of cream — it must overflow the cut and bulge above the rim of the roll, creating the characteristic domed, white-crested appearance. The rolls are served immediately; they should not stand filled for more than one hour.