In a small saucepan, heat the milk to 105 degrees. Remove it from the heat, and stir in the yeast. Let this sit for five minutes.
Meanwhile, in a mixing bowl stir together the sugar, butter, eggs, yolk, vanilla, and salt.
Add the yeast and mix well.
Add the flour and stir until all is combined. Knead on a floured board for 8 minutes.
Put the dough in an oiled bowl, turning to coat it with oil. Cover with a damp cloth and put it in a just warm oven for one hour.
Divide the dough ball in half and roll each into a 14x12 rectangle. Mix together the filling and spread some on each rectangle. Roll the rectangles into a log, using the long side. Seal the log, by pressing lightly on the dough.
Cut each log in half. Twist two logs together, pinching the ends closed. Repeat with the other two logs. Place each twist in a loaf pan, seam side up, that's been lined with parchment paper. Cover pans and let rise one hour.
Preheat the oven to 350 degrees. Brush the loaves with the egg wash ( to make the egg wash just beat the egg with the water) and bake for about 35 minutes until golden brown and about 180 degrees inside. Let cool for ten minutes in the pan on a wire rack. Then, remove from the pan and continue cooling.