Cream butter, cream cheese, vanilla, and zest. Sift flour, confectioners' sugar, and salt. Gradually stir into creamed mixture. Divide dough into thirds and flatten into ¾-inch-thick disks. Wrap and refrigerate for at least 1 hour. Mix sugar with cinnamon and set aside.
Roll one piece of dough into a 12-inch circle on floured waxed paper. Slide dough onto a cookie sheet and refrigerate for 10 minutes. Spread 3 tablespoons preserves over dough. Sprinkle generously with cinnamon sugar. Cut into 16 wedges. Roll up wedges, starting at the wide end. Place onto greased cookie sheets, seam down. Refrigerate for 15 minutes. Repeat for other two pieces of dough. Brush spirals with milk and sprinkle with plain sugar. Bake at 350 degrees F for 20 minutes. Cool on a rack.