Turn the dough out onto a lightly floured surface. Roll the dough to a 10” x 14” rectangle. Roll the dough onto a rolling pin and transfer onto a ½ sheet of parchment paper. Transfer the paper with the dough to a 1/2 sheet pan.
With the short side of the dough facing you, spoon the filling into the middle of the rectangle. Spread to a 3” wide strip down the middle of the dough, leaving a 1” border at the top and bottom.
Using a pizza cutter or sharp knife, cut ¾” wide strips in a angled pattern on either side of the filling. Remove the top and bottom strips creating a tab of dough at each end.
Fold the top tab over the filling, then “braid” the cut strips of dough by folding them into the center in a criss-cross pattern then fold the bottom tab over before braiding the last strips.
Cover the braid with plastic wrap and set aside to rise for 1 1/2 - 2 hours, or cover and place in the refrigerator overnight. The dough should look lighter and a little puffy but won’t double in size. While the dough is rising, preheat the oven to 350 °F.
Brush the entire braid with egg wash. Bake in the middle rack of the oven until golden brown, 15-20 minutes. After 10 minutes, if it looks like the bottom of the Danish is browning too fast slide another sheet pan under the Danish. As soon as the Danish comes out of the oven, brush with the apple jelly. Let the Danish cool for 20 minutes.
Stir together the milk and confectioner’s sugar. The glaze should have the texture of pancake batter. Add more sugar if it’s too loose or more milk if it’s too thick. Use a fork or whisk to drizzle the glaze over the Danish.
Serve slightly warm or at room temperature.