Add the milk and butter to a heatproof bowl or jug and microwave for 90 seconds or until the butter is melted. Then add the egg and use a whisk to combine. Set aside.
Add the flour, caster sugar, salt, dry yeast, and orange zest into the bowl of a stand mixer and fit with a dough hook. Mix on low speed until well combined. Alternatively, you can use a whisk to combine.
Add the wet ingredients to the dry ingredients while the mixer is on medium low speed. Once the mixture forms a ball of dough, continue mixing for 10-15 minutes. Alternatively, you can knead the dough against your workbench.
Cover the bowl with cling wrap and allow to rest in a warm spot for 1 hour. It will double in size.