Using your fingers make a small indentation into each square and place about 1 tsp of jam in the center. Carefully fold each square in half and pinch the ends together. The dough should be sticky enough so that it sticks together.
Punch down the dough and roll out onto a slightly floured work surface. Roll it out so that it's a big rectangle about 14 inches (35 cm) by 18 inches (44 cm). It should be about ½ inch (1 cm) in thickness. Using a pastry cutter, a pizza cutter, or a knife, cut the dough into 2¾ x 2¾ inch (7 cm x 7 cm) squares.
Let the dough rest until it doubles in size, usually about an hour.
Combine all the dry ingredients together (flour, cake flour, instant dry yeast, sugar, and salt). Add the lukewarm milk, eggs, vanilla extract, vegetable oil and the orange zest. You can knead this by hand, or make it easy on yourself and use your mixer. Mix until the dough is smooth, add more flour as needed. The dough needs to be just a little bit sticky. Place the dough in an oiled bowl and let it rest in a warm place.