Bring the milk to a boil for 1 minute with the sugar. Gradually add the semolina while constantly stirring, and let it boil for 4 to 5 minutes. Remove from heat and let it cool (the semolina should be firm and consistent).
In a mixing bowl, beat the well-drained ricotta with the sugar, then add the egg yolk. Gradually mix in the semolina. Add the grated zest of one orange or orange blossom water, according to your preference. You can add candied fruits (optional).
Preheat the oven to 180°C (350°F).
Take the dough out of the refrigerator and cut it into slices 1 to 1.5 cm thick. Take a slice and gently press the center with your thumbs while rotating it to form a cone (without tearing it). Fill the cone with some of the filling and close the sfogliatella by pressing the edges to seal the dough. Repeat with each slice of dough.
Line a baking sheet with parchment paper. Place the sfogliatelle on the baking sheet. Using a brush, coat the sfogliatelle with beaten egg yolk. Bake for 20 to 25 minutes until golden brown.
Remove from the oven and place them on a wire rack. Serve the sfogliatelle warm, dusted with powdered sugar.