Cookie salad is my favorite of the Midwest dessert salads and it's typically made with fudge stripe cookies, whipped cream, pudding and fruit. Rugelach is a rolled Jewish cookie that's usually filled with jam, chocolate or cinnamon sugar. I got the idea to combine the two when my friends kept calling rugelach "arugula" (they kind of sound the same!), so the whole thing is a play on words and it's really really tasty because the cookies get a little soft, almost cake-like, and the flavors all play so well together.
For the pudding: Combine the granulated sugar, flour and salt in a medium saucepan. Whisk in the egg yolks, then the heavy cream. Heat over medium heat, stirring constantly, until the mixture is thickened and coats the back of a spoon, about 5 minutes. Remove from the heat.
Add the vanilla and most of the orange zest (save some for garnish), pour into a heat-safe bowl and cover with plastic wrap so that it touches the surface of the pudding. Refrigerate until cooled, at least 1 hour and up to overnight.
For the rugelach: Preheat the oven to 425 degrees F.
Roll the pie dough out on a lightly floured surface to a large round, about 1/4 inch thick. Brush the dough with the egg wash, then sprinkle the granulated sugar, cinnamon and half of the walnuts in a light even layer across the dough. Using a pizza cutter or knife, cut the dough into 8 triangular wedges. Roll up each section starting with the wide end. Transfer the rugelach to a parchment-lined baking sheet and space them 1 inch apart. Lightly brush the top of the rugelach with the egg wash and sprinkle with the turbinado sugar, flaky salt and the rest of the walnuts.
Bake until golden brown; start checking for doneness at 15 minutes. Let cool completely on the pan or a cooling rack.
For the whipped cream. In a stand mixer fitted with a whisk attachment, beat the heavy cream and powdered sugar to stiff peaks.
For the assembly: Roughly chop half of the rugelach cookies, leaving the rest intact.
In a large bowl, fold together the whipped cream and pudding. Add the marshmallows, apples and chopped rugelach and mix together. Top with the intact rugelach, some marshmallows, the remaining orange zest and a few more toasted nuts. Refrigerate until ready to serve.