Combine 2 cups flour, 1/2 cup granulated sugar, yeast, and salt; set aside. In a saucepan combine water, milk, and 1/2 cup margarine. Heat and stir just till warm (120~ to 130~) and butter is almost melted. Add to flour mixture; add egg. Beat for 30 seconds, scraping bowl. Beat for 3 mins. Stir in as much remaining flour as you can. Turn dough out onto a lightly floured surface. Knead in enough remaining flour to make a moderately stiff dough that is elastic (6 to 8 mins. total). Shape into a ball. Place in a greased bowl. Cover; let rise in warm place till double (about 1 hr.). Punch down.
Turn out onto a floured surface. Divide in half. Cover; let rest for 10 mins. For filling, combine cheese, peel, 2 tbsp juice, and 1/2 cup granulated sugar. For icing, combine powdered sugar, 1 tbsp juice, and 1 tsp margarine. Set aside. On a floured surface, roll each portion of dough into a 14"ex9"e rectangle. Top with 1/4 cup granulated sugar. Roll up from a long side; seal seams. Cut into 12 slices; arrange 2"e apart on a lightly greased baking sheet. Make indentations; fill with a scant tbsp of filling. Repeat with remaining dough, sugar, and filling. Bake in a 375~ oven for 18 to 20 mins. or till golden. Let stand 2 mins., top with icing. Serve warm.