To mix the cake batter: sift the flour, salt, baking powder and sugar together. Beat the eggs slightly and stir into the flour. Add the cognac and milk and water gradually, beating well. Let stand 10 minutes. Bake on a well-buttered griddle, browning the cakes delicately on both sides.
Add a tablespoon of cooled filling to each cake; roll the cake around the filling to the size of a finger sausage. Arrange on an ovenware serving dish; sprinkle with sugar; set under low broiler heat to lightly brown the top.
To make the filling: beat the yolks and sugar together in the upper part of a double boiler until thoroughly creamed; add the grated orange peel and juice, mixing well; then add dabs of butter until all is used. Cook until thickened. Remove from the heat and let cool. Use as directed.