In a separate bowl, combine the ricotta with the lemon zest, orange zest, and vanilla bean paste. Preheat your oven to 180°C (160°C fan/gas mark 4). Brush the bottom of a large baking tray (around 35 x 47cm) with some of the melted butter.
Now for the assembly: take one sheet of filo pastry at a time (keep the rest covered with a damp tea towel so it doesn't dry out). Lay it out on a board with a short end facing you. Sprinkle 30g of the spiced nut mixture evenly over the entire sheet, then spoon 1 tablespoon of the ricotta mixture across the end closest to you. Fold that end over to enclose the filling.
Next, place a long, thin skewer next to the folded edge and roll the pastry around it to form a long roll, roughly the thickness of a chipolata sausage. Once it's fully rolled, hold one end of the skewer and gently scrunch the filo roll like an accordion. Carefully slide it off the skewer and onto your prepared tray. Repeat this process with the remaining filo and fillings; you should end up with about 12 rolls. Finally, cut each roll into four pieces for 48 large baklava, or eight pieces for 96 mini baklava.
