Divide dough into four equal pieces. Roll each piece into 12x1-inch log; place, 2 inches apart, on large ungreased baking sheet. Use handle of wooden spoon or fingers to make depression down length of each log, about 1/2 inch wide and 1/2 inch deep. Beat reserved egg white with fork; brush over dough. Sprinkle with walnuts. Warm jam in microwave on HIGH 1 min. Fill depressions with jam, using about 3 Tbsp. jam in each log.