After 1 hour of sitting in a warm spot, the king cake dough should have double in size. Next mix together ingredients for cinnamon filling, and cream cheese filling.
Next sprinkle half of the cinnamon sugar mixture over each rectangle evenly. Then, pipe half of the cream cheese filling along one long end of each rectangle.
Roll the dough into rolls. Seal the seam well by wetting and pinching.Gently stretch out each roll to about 24 inches long, this will make it easier to twist them around each other.
Lay the two rolls side by side on a greased baking sheet with parchment paper, and gently twist together, forming an oval. Seal the ends of each toll together and tuck seam under the other roll.
Preheat oven to 350°F. Brush with egg wash, and bake for 30 minutes, until dough is golden brown, and a toothpick inserted into the center comes out clean.
Mix milk, lemon juice, and vanilla together, and sift in powdered sugar. When king cake has cooled slightly, pour icing over, and sprinkle with sanding sugar.