Preheat oven to 175ºC.
Place 3 cups of boiling water from a kettle in a roasting pan and place it on the bottom of the oven, to create steam.
In a large bowl, combine flour, baking powder, vanilla, sugar, and salt. Using your hands, rub the frozen butter into the flour and mix, until the texture feels like breadcrumbs.
Add in milk and knead slightly to form a dough.
Dust some flour over parchment paper and place the dough in the center. Dust the top of the dough with more flour. Using a rolling pin, roll out to 1cm thick, forming a rectangular shape.
Spread a layer of orange jam all over it, roll it up and seal the edges.
Transfer the baking sheet with the roly-poly into a rectangular-shaped mold. Optionally, cover with a sheet of aluminum foil and wrap loosely to create even more steam.
Place the mold in the oven, making sure not a lot of steam is lost when opening the door. Bake for around 50 minutes.