How to Make It
Prepare the Filling: Place almonds and walnuts in the bowl of a food processor and pulse until coarsely chopped. Add figs, raisins, dates, honey, orange zest, orange juice, five spice powder, and vanilla and pulse until evenly combined and almost smooth, 4 to 5 times, scraping down sides of the bowl as needed. Transfer mixture to a bowl, and cover until ready to use.
Prepare the Cookies: Whisk together flour, baking powder, and salt in a bowl.
Combine granulated sugar, butter, milk, vanilla, and 2 of the egg yolks in a large bowl; beat with an electric mixer on medium-low speed until well combined, about 3 minutes. (Mixture may look broken.) Add flour mixture and beat on low speed until well combined. Increase speed to medium-high and beat until very smooth, about 2 minutes. Transfer dough to a work surface and divide dough in half. Shape each half into a 5-inch square and cover tightly with plastic wrap; chill until firm, 2 hours.
Preheat oven to 350°F. Line 2 baking sheets with parchment paper. Working with one piece of dough at a time, on a lightly floured surface, quickly roll dough into a 9-inch square, about ⅛ inch thick. (If dough becomes too soft to work with transfer to a piece of parchment and refrigerate until firm) Using a sharp knife or pizza cutter, cut dough into 3 3x9-inch strips. Spread about 4½ tablespoons of the filling down the center of each rectangle. Starting with the long side, roll up each rectangle, jelly-roll fashion, and pinch seams closed. Cut each log crosswise on the diagonal into 6 pieces; transfer cookies to prepared baking sheets and arrange seam-side down and 2 inches apart. Repeat with remaining dough and filling.
Whisk together water and remaining egg yolk in a small bowl. Brush cookies with egg mixture.
Bake in preheated oven until golden brown, 18 to 20 minutes. Cool on sheet about 5 minutes. Transfer cookies to wire racks to cool completely.
Whisk together powdered sugar and milk in a small bowl. Drizzle mixture over cooled cookies, and immediately sprinkle with nonpareils.