To make Pastry: Combine flour, sugar, baking powder and salt in a large mixing bowl. Add the butter, eggs, vanilla and milk. Stir into a smooth dough. Remove dough from bowl and shape into a circle. Cut into 4 equal pieces, wrap in plastic and chill.
To make the Filling: Use the zest and juice of the orange and place in large bowl. Mix in figs, raisins and nuts. Process in food processor until evenly chopped. Stir in honey, rum and cinnamon, and set aside.
Preheat oven to 200 degrees C. Grease baking trays.
Remove dough from refrigerator. Roll one piece of dough at a time into an 20cm wide strip about 5mm thick. Cut lengthwise in half, forming two long strips, each about 10cm wide. Lay strips on work surface. Brush top 2cm of each with cold water. About 1/3 of the way up from the bottom of the dough, place 1/4 of the filling in a 2cm wide strip, running from end to end. Fold the moistened edge of the dough over the filling and press to seal edges. Cut each strip into 3cm rectangles and place on baking trays. Repeat with remaining sections of dough.
Bake 13 to 16 minutes, or until tops are golden. Let cool on baking trays for 10 minutes. Transfer to wire racks.