For the nut filling, briefly heat up the milk together with the sugar and honey and stir in the ground nuts. Flavour with rum, lemon zest, and vanilla sugar. Wait for the mixture to cool and then add the sweet crumbs. The filling needs to be rather firm but still soft enough to be shaped. Shape it into small, thumb-thick rolls that can be rolled up in the dough later on.
Pre-heat the oven to 210 °C. On a floured cutting board, shape the Beugel dough into a thick roll. Cut this roll into apricot-sized pieces. Roll these out into approximately palm-sized ovular pieces of 6–8 cm in length on the floured board. Place a roll of the filling onto each piece of dough, wrapping the dough pieces around the filling and pressing their edges closed. Next, use both hands to shape each piece into a fat roll tapered into a point at each end. Bend these points inward a fair distance.
Place the Beugel, their seams face-down, onto a parchment paper-lined baking sheet. Whisk up the egg and the egg yolk. Baste the Beugel generously with the egg mixture and let them sit uncovered until this coating has dried. Then bake them in an oven pre-heated to 210 °C for 15 to 20 minutes. Baking the Beugel quickly like this creates the typical cracks in their egg-coated surfaces.