In a cup or bowl, heat the milk in the microwave in 15-second increments or on the stove until it's just warm to the touch. A thermometer should read around 110°F-115°F.
Stir in the yeast and sugar to combine, then loosely cover with plastic wrap and let it stand for 5 minutes until it gets very foamy.
In the bowl of a stand mixer, whisk together the bread flour, all-purpose flour, salt, and anise seed.
Attach the dough hook to the mixer and add the melted butter, eggs, orange zest, and yeast mixture. Mix on medium-low speed for 6-8 minutes, until the dough becomes smooth and elastic and pulls away from the bowl.
Coat a large bowl with oil and transfer the dough to the bowl, shaping it into a ball. Cover it with a kitchen towel and let it rise for 2 hours until doubled in size.
Line two large baking sheets with parchment paper and set aside.
Divide the dough into 6 equal pieces, then cut 1/4 off of each piece and set it aside to create the bone shapes that will drape across each loaf.
Shape the 6 large dough pieces into balls and place each of them on the prepared baking sheets.
Make the bone-shaped decorations for each loaf. Tear a small piece off of each of the 6 dough remaining dough pieces. Roll each into a small ball and set aside. Drape the two long bones over each of the loaves in a cross shape, the top with the two balls.
Divide each of the remaining 6 dough pieces in half to create 12 equal-sized pieces. Roll each piece into a long rope about 7-inches in length. Pinch the ropes at intervals to make them look like bones.
Drape 2 of the long rope pieces over each of the loaves in a criss-cross shape, then top each with one of the small balls.
Lightly cover with a kitchen towel and let it rise for 1 ½ more hours.
15 minutes before the resting time is over, preheat the oven to 350°F. Bake for 35-40 minutes, until the tops are golden brown and the bread is fully cooked through. Allow to cool for at least 30 minutes.
Make the topping by whisking together the melted butter and orange zest in a small bowl or cup. Brush the melted butter mixture all over the top of the loaves, then roll or brush in the granulated sugar.
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Notes
This recipe yields 6 medium loaves, but it can be divided to make 2 large loaves or 12 individual small loaves. You may need to adjust the cooking time accordingly.