Cookie dough. Sift the flour, baking soda, salt, cinnamon, and nutmeg into a bowl and lightly whisk them together. Set aside.
In the bowl of an electric mixer, cream together the butter and the sugar for 5-7 minutes. Add the zest about half way through. The mixture should be light and fluffy.
Add the egg yolks, one at a time, allowing them to fully incorporate before adding the next one. Then add the milk. You may need to stop the mixer a few times to scrape down the sides of the bowl.
Add the dry ingredients to the wet and stir just until fully combined.
Spread the dough onto a large piece of parchment paper. Place another piece of parchment paper over the dough. With a rolling pin, roll the dough until it is approximately ⅛ inch thick. Pulling from the bottom piece of parchment, slide the parchment encased dough onto a baking sheet and place it in the refrigerator for at least one hour. While the dough is chilling, make the filling.
Fig Filling. Into a pot add the sliced dry figs, the rum, the water, the orange zest, the cinnamon, and the salt. Bring the mixture to a boil, then lower the flame as much as possible to maintain a simmer for 10-20 minutes, checking on them at the 5 minute mark and every few minutes thereafter. The figs should be very soft (a fork should easily pierce them) and most of the water should have disappeared. If the figs are very dry and not softening up, you may have to add 1 to 2 tablespoons of additional water and cook for a few more minutes. If the figs were not too dry at the outset, it could take just 10 minutes for them to soften up.
Once the figs are cooked and soft, move them to a food processer. Add the honey and process until smooth. Allow them to cool. If they are not in a spreadable consistency, add 1 teaspoon of water at time, mixing after each addition, until it is spreadable in consistency. The fig filling can be prepared up to a week earlier and stored in an airtight container in the refrigerator, allowing it to come to room temperature before using.
Bake dough. Preheat oven to 350 F.
Remove the dough from the refrigerator and lift up the top piece of parchment paper. With half of the dough, use dough cutters to cut desired shapes for the bottoms of the cookies. Use smaller cutters in the centers of half the larger cookies. If the dough gets sticky, place it back in the refrigerator for 10-15 minutes. Gather any scraps, roll them out to ⅛ inch thickness, refrigerate, and cut more cookies. Place the cookies in the refrigerator or freezer for 10 minutes prior to baking. Place the cookies 2 inches apart on a parchment lined baking sheet and bake 8-10 minutes. The bottoms and edges should be lightly browned.
Make Glaze. Whisk together the confectioner's sugar and the cinnamon. Add the orange juice, 1 Tablespoon at a time, until you reach a thick, pourable consistency. Use a spoon to drizzle the glaze over the cooled cookie tops. Allow the glaze to dry.
Spread approximately 1-2 teaspoons of the fig filling on the cookie bottoms. Place the cookie tops with the cut outs in the middle on top. Spread glaze on the cookie tops. Decorate with sprinkles, as desired. (Alternatively, glaze and decorate the tops first, allowing the glaze to dry fully. Then spread the fig filling on the bottoms and top with the glazed tops.)