In a large bowl or stand mixer bowl, combine the warm milk, 1 tsp sugar and yeast. Whisk together and let sit for about 10 to 15 minutes or until the yeast mixture is bubbly and foamy.
While the yeast mixture is blooming, zest and juice both the lemon and orange.
Once the yeast mixture is looking noice and foamy, add the remaining sugar, zests, juices, egg, melted butter, flour and salt.
If you are using a stand mixer, affix the dough hook attachment and mix the dough on low speed until combined. If you are mixing the dough by hand, use a wooden spoon to mix until you reach a shaggy, mostly combined dough.
If you are using a stand mixer, up the speed a couple notches and knead the dough until it has mostly pulled away from the side of the bowl mostly and looks smooth, or about 5 minutes. If you are mixing the dough by hand, turn the dough onto the counter and knead until smooth, about 15 minutes.
If you are using a stand mixer, remove the dough hook and the dough from the bowl. Lightly oil the bowl and return the dough to the bowl. If you are mixing the dough by hand, lightly oil the bowl and return the dough to the bowl. Cover with a towel and let rise 1-2 hours or until doubled in size.
Once the dough has risen, punch it down and turn it onto the counter.
Divide the dough into two equal pieces.
Squish all the air out of the pieces and roll each piece of dough into a log buy tightly rolling the dough over itself towards you. Pinch the seam closed.
Grease two loaf pans.
Place one log of dough in each pan.
Cover and let rise until doubled in size, about 1-2 hours.
Preheat the oven to 350F.
Once the loaves have risen, bake until golden brown, about 20-30 minutes.
Let the loaves cool completely.
To make the icing: combine the powdered sugar, melted butter and lemon juice in a small bowl.
Slice off a piece of bread and drizzle with the icing.
Top with sprinkles.
Try not to eat the whole loaf.