Combine poppy seeds, milk, honey, sugar, zest and sultanas in a saucepan. Cook over low heat until slightly thickened, about 15 minutes. Stir in butter and walnuts then continue stirring until butter has melted. Remove from heat then cover and chill for 2 or more hours.
Cream together butter and sugar. Beat in the egg, orange zest, vanilla and milk. In a separate bowl, sift together the dry ingredients then add to the wet and combine until well mixed. Cover and chill dough for 1 hour or more.
Preheat oven to 200 degrees C. Line a baking tray with baking paper. Roll out the dough on a lightly floured surface, to about 1/2 cm thick. Using cookie cutters, cut out 6-7 cm circles. Lay them out on the prepared baking tray.
Place a teaspoon of filling in the centre of each circle then pull up the edges on 3 sides and firmly pinch corners together. Refrigerate for at least 30 minutes prior to baking. Bake in preheated oven until cooked and golden brown, about 8 minutes.