In a medium saucepan, boil the milk over medium high heat.
Pour the semolina into the hot milk in a steady stream, stirring with a wooden spoon all the while.
Reduce heat and continue stirring, cooking for 3-4 minutes, or until thickened.
Remove from heat, transfer to a mixing bowl, and let cool for 5 minutes.
In the meanwhile, beat the egg, then add to it the sugar and orange peel. Set aside.
Once the roux is cooled, stir in the ricotta, then beat in the egg mixture until well combined. Set aside.
Preheat oven to 425 degrees Fahrenheit. Line 2 baking sheets with parchment paper and set aside.
Lightly flour your work surface and set out the first sheet of puff pastry, unfolding it carefully. Lightly flour the top and start rolling it out, rotating as needed and checking frequently to be sure it's not sticking to your work surface. Roll out to about 16"x22", then trim the edges to be sure you have a decent rectangle.
Spread half the melted butter over the surface evenly, then, starting with a short end, begin tight rolling the dough like you're making cinnamon buns.
Cut the rolled dough in 2-inch portions (having a ruler helps with accuracy).
On the short end of each section, press down in the center with your pointer fingers, stretching into a cup.
Drop 2 teaspoons of filling into the center of the cup and seal the dough, so you have a triangular package. Place on the prepared baking sheets at least 2 inches apart.
Bake for 15 minutes, or until lightly browned. Remove to a wire rack to cool completely.
Repeat with the 2nd sheet of puff pastry.
Once completely cooled, dust with confectioners' sugar before serving.
I had A LOT of leftover filling, so you may want to halve that part.