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Stir together the zest and juice, Cointreau, cranberries and mixed fruit in a small bowl and leave to soak.
Meanwhile, mix the flour, yeast, caster sugar and nutmeg in a large bowl. Add ½ tsp salt and rub in the butter. Beat the egg with the warm milk, then pour onto the flour mix. Stir with a round-bladed knife, then use your hands to bring the mixture together as a soft dough.
Tip onto a work surface and knead for a couple of mins, adding a little flour only if you need to stop it sticking. Oil the bowl, return the dough and cover with cling film. Leave to rise for 45 mins-1 hr in a warm place until doubled in size.
Line and butter a large roasting tin with baking parchment. Roll the risen dough out firmly to a long strip about 70 x 18cm. Add the pistachios to the soaked fruit, then scatter the mix along the dough. Roll the marzipan into a sausage the same length as the longest side of the dough, then place it down the centre of the dough and roll up together firmly, a bit like making a sausage roll. Trim the ends, then cut the rest into even lengths and arrange, cut side up, in the tin. Cover with cling film and leave to rise for 45 mins-1 hr until really well risen.
Heat oven to 190C/170C fan/gas 5. Bake for 15-20 mins until golden. Will freeze for up to 6 weeks. Brush with melted butter and dredge with icing sugar, or mix a little water into the icing sugar, drizzle over the buns and scatter over the nuts. Eat within 2 days.