In the bowl of your stand mixer combine the water, sugar and yeast. Whisk together until combined and allow to sit at room temperature for approximately 10 minutes. You should see the surface of your mixture puff up and bubble slightly.
¾ cup lukewarm water, 2 tbsp sugar, 1 tbsp active dry yeast
Meanwhile, combine the dry ingredients together and whisk to combine. Set aside.
3½ cups all purpose flour, 1 tsp baking powder, 1 tsp vanilla powder, 1 tsp cinnamon, ¼ tsp nutmeg, ¼ tsp salt
Once your yeast has proofed, add the orange zest and the liquid ingredients to the bowl. Mix to combine using the dough hook attachment of your mixer. Next, add the dry ingredients and knead the dough for a few minutes until a soft ball is formed and it pulls from the side of the bowl.
1 tbsp orange zest, ½ cup orange juice, ½ cup vegetable oil, ¼ cup olive oil
Measure your dough if you have a kitchen scale and separate it into 1/3 and 2/3 portions; my dough usually totals around 990 grams, so I reserve about 330 grams to make the chocolate dough. Transfer the larger portion of dough to a bowl, cover, and set aside to rise until doubled in size, or about 2 hours.
Return the smaller portion of dough to the bowl of the stand mixer. Sift the cocoa powder and cinnamon over the dough. Use a food processor or a blender to finely chop the walnuts. Add the finely crushed walnuts and the orange juice to the bowl. Knead with the dough hook attachment on medium speed until everything is well combined. if your dough appears too dry, add some additional olive oil. Set the dough aside, covered, to rise until doubled in size, or about 2 hours.
½ cup cocoa, ½ cup walnuts, 4 tbsp orange juice, 1 tsp cinnamon, 1 tbsp olive oil
Once your dough has risen separate both the vanilla and the chocolate dough into two halves. On a lightly floured surface roll one half of the chocolate dough into a log, about an inch thick and about 12 inches long - set aside. Then, on the same lightly floured surface, use a rolling pin to roll out half the vanilla dough into a rectangle - about 12 inches long and 8 inches high; the dough will be thin.
Place the chocolate dough along one of the long edges of the vanilla dough and roll the dough tightly so that the vanilla dough wraps around the chocolate dough. Using a sharp knife, slice the log into approximately 15 pieces, each about 1 inch thick; I use my thumb as a guide. Do not worry if you squish the dough as you are slicing through it. Repeat the entire process with the second half of the vanilla and chocolate dough.
Once all your slices are made, use your hands to shape the pastries into rounds and to flatten them until they are about 1/2 inch thick. Transfer them to a parchment lined cookie sheet and bake in the middle rack of your oven for between 22 - 25 minutes; you will likely need to do this in batches.
Once all of your roxakia are baked, transfer them all to the same baking sheet or other container and pour the cooled syrup over them. Allow them to soak in the syrup for about 15 minutes and then carefully turn them over so that the top of the roxakia soak in the syrup as well. Turn them over again after about 5 minutes; at this point most of the syrup should have been absorbed.