Cozonac Romanian Walnut and Rum Celebration Bread

Name: Cozonac (Romanian Walnut and Rum Celebration Bread)
Ingredients: ¼ cup (30 g) all-purpose flour; ¼ cup (60 ml) tepid milk; 1 tsp. sugar; 2 tsp. (7 g) active dry yeast; 1½ Tbsp. (15 g active dry yeast); ½ cup (120 ml) tepid milk; 6 egg yolks; ½ tsp. salt; ½ cup (100 g) sugar; 2 Tbsp. rum; 3½ cups (450 g) all-purpose flour; Zest of 1 orange; Zest of 1 lemon; 1 Tbsp. vanilla extract; 7 Tbsp. (100 g) butter, melted; Vegetable oil or sunflower oil, for greasing; 2 egg whites, whisked to very soft peaks; 2 cups (200 g) walnuts, grounds; 3 Tbsp. instant coffee; ¼ cup (20 g) cocoa powder; ¾ cup (150 g) sugar; 1 egg yolk, whisked with 1 Tbsp. milk