Place water in large bowl. Sprinkle in yeast; stir until dissolved. Add warm milk, butter, sugar, orange peel, salt, mace, and 1 cup flour; blend well. Stir in egg and enough remaining flour to make soft dough. Knead on floured surface until smooth, about 6 minutes. Place in greased bowl, turning to grease top. Cover; let rise in warm place until doubled in size, about 1 hour.
Punch dough down; remove to floured surface. Using one-fourth of dough, roll to 18-inch rope. Set aside. Divide remaining dough in half. Roll each half to 30-inch rope; join to make 1 long rope. Place ropes next to each other, aligning centers. Starting in the center, wrap one side of long rope around one side of small rope; repeat for other side. Pinch ends to seal. Place loaf on center of greased baking sheet. Curve ends. Cover; let rise in warm place until doubled in size, about 30 minutes.
Bake at 350oF for 35 minutes or until done. Remove from sheet; let cool on wire rack. Brush with Honey Orange Glaze.
Honey Orange Glaze: Place honey and orange juice in small, microwave-safe bowl. Heat on HIGH (100%) 10 to 15 seconds; stir. Note: Microwave cooking times may vary.