In a medium saucepan, combine the milk, heavy cream, orange zest strips, and the cinnamon stick.

Heat the mixture gently over medium heat until it just begins to simmer, then remove from heat and let it steep for 10 minutes to infuse the flavors.

Stir the Pedro Ximénez sherry into the warm milk mixture, then strain the liquid into a wide, shallow baking dish, discarding the zest and cinnamon stick.

Place the thick bread slices into the warm liquid. Allow them to soak for roughly 5 minutes per side until they are heavy and saturated but holding their shape.

While the bread soaks, whisk the eggs in a shallow bowl. In a separate plate, mix the granulated sugar and ground cinnamon together.

Heat the olive oil in a large frying pan over medium-high heat until shimmering.

Carefully lift a slice of soaked bread, allow excess liquid to drip off, and dip it into the beaten eggs to coat both sides gently.

Place the bread into the hot oil and fry for 2-3 minutes on each side until deep golden brown and crispy.

Remove the torrijas from the pan and drain briefly on paper towels.

While still hot, roll the slices in the cinnamon-sugar mixture to coat evenly.

Serve warm, drizzled with a little honey or extra sherry reduction if desired.