In an electric mixer fitted with a dough hook, combine 1/3 cup granulated sugar, salt and melted butter until well creamed.
Add the eggs, one at a time, mixing after each addition and continue to cream.
Pour the milk into a small bowl and add the packets of yeast. Stir and let sit for 5 minutes until dissolved. Set aside.
Add in the vanilla, orange zest and lemon zest to the mixing bowl and blend.
Pour in the the milk and dissolved yeast and blend.
Add the flour and mix on low until the dough tightens. Increase the speed to medium and beat until the mixture pulls away from the sides of the bowl, forms a ball and climbs slightly up the dough hook.
Remove the dough from the bowl. Coat the dough with 1/2 cup of canola oil. Return the dough to the bowl and cover the bowl with plastic wrap. Set in a warm, draft-free place, and let it rise until doubled in size, about 1 1/2 hours.
While the dough is resting, mix your colored sugars. Place 1 cup of granulated sugar in a ziplock bag. Add in 2-3 drops of food coloring. Close the bag and shake and caress the sugar until it is completely colored. Add more food coloring if necessary. Repeat this process with each of the colors, using a separate ziplock bag for each. Set aside to use later.
After the dough has rested, turn the dough out onto a floured work surface. Knead the dough for 10 minutes.
Roll the dough out into an oblong piece.
Brush the dough with canola oil covering the entire piece.
In a small bowl, mix together 1/2 cup granulated sugar and 1 1/2 teaspoons cinnamon. Sprinkle the cinnamon sugar liberally over the entire piece of dough.
Once the dough is covered with the cinnamon sugar and oil, fold it in half lengthwise.
Cut the dough into 3 long strips and lay the strips side-by-side. Press the edges to seal. Now it's time to braid the dough.
(Braiding dough is just like braiding hair)
Grab the center of the right strand and cross it over the middle strand, drop it in the center.
Grab your left strand and cross it over the middle strand.
Repeat these steps until you have braided your dough to the very end. Pinch the ends together and form a circle with the dough.
Transfer to a parchment lined baking sheet.
Cover and allow the dough to rest again until it doubles in size, about 1 hour.
Preheat the oven to 370 degrees F.
While the dough is resting again, make the filling.
Cream together the cream cheese, powdered sugar, milk and lemon zest until smooth.
Place the filling in a piping bag or scoop it into a large ziplock bag and cut off the corner tip of the bag.
Pipe the filling directly on top of the dough. Only go around the circle once, you may have some filling left over.
Place the king cake in the oven and bake for 12-15 minutes until the dough is golden brown.
Remove from the oven and make the glaze.
Whisk together 1 cup of the powdered sugar and 2 tablespoons of the milk. Drizzle the glaze over the top of the King Cake.
Sprinkle the three colored sugars on top of the King Cake alternating the colors.
Slice and serve.