Preheat oven to 350 degrees. Prepare 4-5 baking trays by spraying with non-stick cooking spray. Set aside.
In a mixing bowl, cream butter and sugar on high speed, about 10 minutes. It will look puffed and fluffy.
In a separate small bowl, add the milk and ammonium bicarbonate. Stir to dissolve. Set aside.
Slow down mixer, add in vanilla, then add in egg yolks, one at a time. Add the milk/ammonia mixture a little at a time until incorporated. Then add the orange juice and grated orange rind.
Transfer butter/sugar mixture to a large mixing bowl. Add flour one cup at a time. Use your hands to mix. The dough will initially be very sticky. Add flour 1/2 cup at a time and mix until the dough is no longer sticky. (You should be able to pinch and roll a ball of dough in your hand.) Don't worry if it takes 2-3 more cups of flour to achieve the right consistency. Patience is key!
To form the cookies, pinch off a golf-ball sized piece of dough. It should fit in your fist (roughly two tablespoons). Roll out into a finger-width log. To make “s” shape cookies, roll into 6 inch pencil sized log, and the roll one side into a circle shape, and twist the other end the opposite direction into a circle.
In a small bowl, prepare the egg wash by beating one egg with one tablespoon water. Use a pastry brush to lightly coat the tops of your cookies. Add sprinkles or sesame seeds.
Bake for about 10 minutes in the center bottom rack of your oven. When bottom of the cookie gets golden, move to the top rack and bake another 5 minutes or until cookies are golden brown in color.
Let cookies cool completely on a rack before you move them or they will break.
Store in an airtight container up to 5 days.