It is called a nut roll. Every year in our family we have them at Christmas and Easter. I am polish and Slovak, but I believe it comes from the Slovak side of my family. I actually have one here in the house now - yum!
Try here:
http://eatocracy.cnn.com/2013/12/12/kolachi-nut-roll/ and here:
http://www.browneyedbaker.com/2011/0...t-roll-recipe/ for a recipe.