1 dry bean or plastic King Cake baby (available at party-supply stores or mardigrasday.com)
For the cake:
Heat the milk in a saucepan until scalding; transfer to a food processor, add the yeast and pulse to combine. Add 1/2 cup flour and the egg yolks; process to combine. Pour the remaining 2 cups flour evenly over the yeast mixture; do not process. Put the lid on; set aside for 90 minutes.
Add the 2 whole eggs, granulated sugar, lemon zest, salt and nutmeg to the food processor; process to make a slightly textured dough, about 1 minute. With the machine running, slowly add the butter to make a smooth, sticky dough. Transfer the dough to a lightly buttered bowl and cover tightly with plastic wrap; let rise in a warm place for 3 hours. Turn the dough out onto a clean surface and knead briefly; form into a ball and return to the bowl. Cover tightly with plastic wrap and refrigerate for 8 hours or overnight.
For the filling:
Plump the raisins in the bourbon in a small saucepan over medium heat. Remove from the heat and add the brown sugar, pecans, vanilla, cinnamon, orange zest, salt and the bean or plastic baby; mix until combined and set aside.
On a floured surface, roll the dough into a 20-by-7-inch rectangle, with the long edge facing you. Spoon the filling in an even layer over the dough, leaving a 1-inch border along the top and bottom. Fold the bottom and then the top edge over the filling to make a tight roll; pinch to seal. Transfer the roll seam-side down to a parchment-lined baking sheet; tuck one end into the other to form a ring. Cover loosely with plastic wrap and set aside in a warm place until the roll doubles in size, about 2 hours.
Preheat the oven to 350 degrees. Bake the cake until firm and golden brown, about 40 minutes. Cool on a rack.
For the glaze: Mix 3 tablespoons water with the confectioners' sugar; brush 3 tablespoons glaze over the cake. Sprinkle with bands of colored sugar; drizzle with more glaze.