Combine 1-1/2 cups flour, sugar, undissolved yeast and salt in a large bowl. Heat milk, water and butter until very warm (120° to 130°F). Gradually add to dry ingredients. Beat 2 minutes at medium speed of electric mixer, scraping bowl occasionally. Add egg and 1 cup flour; beat 2 minutes on high speed. Stir in remaining flour to make a soft dough. Cover; let rest 10 minutes.
Stir dough down; roll on well-floured surface to 1/2-inch thickness. Cut with 2-1/2-inch biscuit cutter; place on greased baking sheets. Cover; let rise in warm, draft-free place until doubled in size, about 1 hour. Make deep indentation in center of rolls; leaving a 1/2-inch border. Fill with Apple-Cranberry Filling.
Bake at 350°F for 20 minutes or until done. Remove from sheets; cool on wire racks. Drizzle with orange glaze.
Apple-Cranberry Filling: Combine shredded apple, cranberry sauce and cinnamon. Stir until well blended.
Orange Glaze: In a bowl, combine powdered sugar, 1 to 2 tablespoons milk, and orange extract. Stir until smooth.