In the bowl of a stand mixer, using a dough hook, combine flour, sugar, yeast, half the orange zest and half the lemon zest. Reserve the other half of the orange and lemon zests for the filling.
While mixing on medium speed, add milk, and add eggs to the dough one at a time. Continue to mix until dough combines, about 2-3 minutes.
After dough combines, add salt, and then add the butter a few cubes at a time, mixing until incorporated.
Once incorporated, knead the dough on medium speed for 10 minutes. After the 10 minutes dough should be completely smooth, elastic, shiny, and pulls away from the sides of the bowl. If this consistency is not achieved, continue to mix until it is. You may need to scrape the sides of the bowl during the mixing time.
Place dough in a large bowl that is sprayed with non-stick spray, and cover with plastic wrap. Place in refrigerator for 8-12 hours to allow to slow rise. This will also make the dough much easier to work with.
After the 8-12 hours, grease two 9x4 inch loaf pans with oil and line the bottom of each pan with waxed paper.
Remove dough from the refrigerator, and divide dough into two equal portions, keep one half covered in the fridge while working with the other half.