Step 1 In a small saucepan, heat three-fourths cup milk to scalding. Remove from the heat and let cool to warm.
Step 2 Sprinkle the yeast over the warm water and stir until the yeast is completely dissolved.
Step 3In the large bowl of an electric mixer, combine the flour, one-fourth cup sugar and the salt. Work the butter in by hand or with a pastry cutter until the mixture resembles cornmeal.
Step 4Combine 3 lightly beaten egg yolks, the warm milk and the yeast mixture. Add to the flour mixture and beat at medium speed until completely blended and a soft dough forms, about one minute.
Step 5Divide the dough into two parts and shape each into a ball. Put each into a lightly buttered bowl. Cover and refrigerate overnight.
Step 6Remove the dough from the refrigerator; let it stand 30 minutes.
Step 7While the dough is standing, beat the egg whites until light and foamy. Gradually beat in the remaining 1 cup sugar until stiff peaks form. Beat in 2 teaspoons of the cinnamon. Fold in 1 cup of the chopped toasted hazelnuts.
Step 8Take one of the dough balls, shape it into an oval and, on a lightly floured board, roll it out to form a 10- by 18-inch rectangle.
Step 9Spread half of the meringue mixture onto the rolled-out dough, leaving a 1-inch border. Roll up the dough lengthwise jellyroll style. Pinch the ends of the roll to seal.
Step 1 0Gently lift the roll onto a greased large baking sheet, seam side down, and form it into a horseshoe shape. Cut slashes halfway through dough at 2-inch intervals.
Step 1 1Repeat the process with the remaining half of the dough.
Step 1 2Invert a large bowl over each of the coffeecakes. Set aside to rise about 45 minutes or until doubled.
Step 1 3Heat the oven to 350 degrees.
Step 1 4Lightly beat 1 egg yolk and 2 tablespoons milk. Brush each of the coffeecakes with egg wash, brushing the entire surface of the dough, but do not brush the meringue filling that shows.
Step 1 5Bake 30 to 35 minutes, until golden brown, turning the baking sheet halfway through. Cool on the pan for about 5 minutes before glazing.
Step 1 6For the glaze, stir together the 1 tablespoon cinnamon, powdered sugar, the remaining 2 tablespoons milk, the rum, if using, and the vanilla. Drizzle it over the coffeecakes. Sprinkle the cakes with the remaining one-half cup of chopped nuts.