First make the filling. Beat together the goats cheese, yogurt, sugar, egg yolk, and orange zest until smooth and creamy, then set aside.
Preheat the oven to 190C (375F). Line a baking sheet with greaseproof paper.
Pulse the walnuts and pistachios in a mini-chopper (or chop by hand) to give a coarse mixture. Add the sugar and cinnamon and pulse a couple more times to mix everything well together.
Unfold the filo pastry sheets and cover with a damp cloth to prevent them from drying out.
Place one sheet of filo on the greaseproof-lined baking sheet. Brush it all over with melted butter. Repeat with another sheet of filo and more butter. Add 1/3 of the nut mixture and use your fingers to spread it to the edges of the pastry.
Add 2 more sheets of filo in the same way, then the next 1/3 of the nut mixture.
Add the final 2 sheets of filo pastry, brushing well with butter as before. Add the rest of the nuts but spread them only in the centre of the pastry, leaving a 5-6cm gap all around the edge.
Dollop the cheese mixture onto the front half of the nut mixture, leaving the edges of the pastry clear, and the rear half of the nut mixture uncovered.
Fold the front edge of the pastry up and over the cheese mixture. Carefully fold in the sides of the pastry then roll the strudel up - you can lift up the greaseproof to help you. Once the strudel is rolled up, gently arrange it, seam-side down, in the middle of the greaseproof-lined baking sheet. Try not to move it too much at this stage!
Brush the strudel with any remaining butter, then bake at 190C (375F) for 20-25 minutes until golden brown all over. Remove from the oven and allow to cool.
Transfer to a serving plate and dust liberally with icing sugar. Slice and serve!