Whisk together the milk, vanilla essence, rum, cocoa, sugar and egg in a large bowl. Soak bread in the milk mixture. Add the margarine, orange peel and lemon peel; mix gently using a wooden spoon. Fold in the sultanas, coconut, banana and apple until evenly distributed. Put in a greased oven dish.
Bake in the preheated oven until golden brown, between 45 minutes and 1 hour. Serve cold.