Weigh flour, salt, nutmeg, sugar, lemon zest and butter cubes into TMbowl; pulse for 2 seconds on Turbo 2 times (butter will appear sand-like)
Weigh in yeast; pulse for 2 seconds on Turbo to combine
Weigh milk into bowl on top of TM lid; add egg
Pour egg and milk into TM bowl; combine for 5 seconds from speed 4-8 until dough clumps into a ball
Knead for 2.5 minutes; remove to a well buttered bowl, place damp cloth on top and proof for 90 minutes or until double in size
Prepare second egg by whisking it to brush on top before baking (and to use to seal edges before proofing)
Lightly flour surface area; roll proofed dough to rectangle 17cm x 37cm or 7 x 14 inches
Combine pistachios with fruit soaked in rum; divide into 3 equal portions and place ⅓ down the centre of the dough, leaving edges uncovered, but not the ends
Fold each side into the centre to overlap slightly in the middle, sealing edges with a rolling pin
Lightly dust surface area again, and turn dough over with seam on bottom; repeat process two more times (see notes)
Roll to a final rectangle of 55 cm x 16 cm or 6 x 22 inches
Roll marzipan into sausage-like cylinder to be just shorter than the length of the dough; place down centre of dough rectangle pushing into the dough a little with the marzipan
Fold dough over marzipan from one side, just covering it, pulling up from the other side, and pinch to seal on seam, brushing with a little of the prepared egg wash to ensure a secure seal
Tuck ends under and lift log to parchment covered baking sheet, seam side down
Brush ends with beaten egg to seal well; cover and proof for 60-90 minutes
when dough has proofed pre-heat oven to 375F
Brush loaf completely with remaining egg wash, bake 25 minutes until golden
Transfer to a wire rack to cool completely before icing