Gather all ingredients.

Make bread dough: Combine warm water and yeast together in a large bowl. Let stand until yeast softens and forms a creamy foam, about 5 minutes.

Stir lukewarm milk, white sugar, shortening, egg, and salt into yeast mixture. Mix in flour until a soft, easy-to-handle dough forms.

Turn dough out onto a lightly floured surface and let stand for 10 minutes. Knead dough until smooth and elastic, about 8 minutes. Form dough into a ball.

Place dough in a large, lightly-oiled bowl and turn to coat. Cover the bowl with a damp towel; let rise in a warm place until doubled in volume or until a hole remains when dough is pressed, about 2 hours.

Punch down dough and turn onto a lightly floured surface. Shape into a ball and let dough rest for 15 minutes.

Make filling: Beat brown sugar, butter, and egg together in a bowl until creamy. Add milk, vanilla extract, and lemon extract; stir until smooth. Stir in walnuts until incorporated.

Roll dough on a large, floured cloth into a 20x30-inch rectangle. Spread walnut filling evenly over top of dough, spreading to the edges.

Roll up along the long edge like a jelly roll and pinch edges to seal. Coil roll into a snail shape.

Grease a 9x13x2-inch baking sheet. Place shaped dough on the prepared sheet and let rise until an impression remains when dough is gently pressed, about 1 hour. Preheat the oven to 325 degrees F (165 degrees C).

Bake in the preheated oven until top is golden brown, 40 to 45 minutes.