In a small bowl, beat cream cheese and sugar; beat in the egg whites. Stir in flour and orange zest; set aside.
In a large bowl, combine the flour, sugar, baking soda and salt. In a small bowl, beat the egg, milk, honey and oil; stir into dry ingredients just until moistened. Fold in walnuts.
Spoon a fourth of the batter into two greased 8x4-in. loaf pans. Spread reserved cream cheese mixture to within 1/2 in. of edges. Spoon remaining batter over filling and carefully spread to cover (pans will not be very full).
Bake at 325° for 50-55 minutes or until a toothpick inserted in the center comes out clean. Cool for 10 minutes before removing from pans to wire racks to cool completely. Store in the refrigerator.