Activate the Yeast: Warm milk, sprinkle yeast, let sit 5–10 minutes until frothy.
Make the Dough: Mix flour, sugar, salt, egg, butter, and yeast mixture. Knead until smooth. Let rise 1–1½ hours. Prepare the Filling: Mix nuts, brown sugar, cinnamon, milk, butter, and vanilla. Roll and Fill: Roll dough into a rectangle, spread filling evenly, and roll into a log.
Second Rise: Place in pan or coil, cover, and let rise 45 minutes.
Bake: Brush top with egg, bake at 175°C (350°F) for 60–70 minutes until golden.
Cool and Serve: Let cool before slicing. Optionally dust with powdered sugar.