500 ml(2 cups) sunflower oil (approximately), for frying
½ tsp saffron threads
1½ tbs pboiling water
240 g(1½ cups) icing sugar
2¼ tbsp lemon juice
To make the icing, soak the saffron in the boiling water in a small bowl. Stand for 45 minutes.
Meanwhile, place the walnuts, almonds, cinnamon, sugar, water and salt in a medium pan. Heat on low, stirring, for about 4 minutes, or until the sugar has dissolved. Remove from the heat and allow to cool. Whisk in the lemon rind and egg yolk and set aside.
Place 1 filo sheet on a clean, dry work surface, with the long edge facing you. Spread 15 g (about 3 tsp) of the nut mixture in a thin strip along the edge closest to you, clearing 1 cm away from the sides on the right and left. Fold the two sides over the paste to hold it in on both sides, and roll away from you to create a compact cigar. Brush the last 1 cm of pastry with the eggwhite and fold to seal. Repeat with remaining pastry and filling.
Pour enough oil into a medium frying pan to reach 2 cm up sides of pan. Heat on medium–high heat until oil reaches 190°C. If you don’t have a thermometer, add a small piece of filo and see that it sizzles and cooks, but doesn’t brown and burn in seconds. Cook the cigars, in batches, for 1–2 minutes on each side, or until golden-brown and crispy. If it takes less time than this, reduce the heat. Remove with a slotted spoon or tongs and place on a wire rack.
To make a thick icing, whisk together the icing sugar and lemon juice until very thick but still pourable. Spoon or brush icing onto cigars, allowing it to coat them naturally. Use a fork to remove some saffron threads from the water and scatter them on top of cigars. Leave for a few minutes to set and then eat immediately.