Begin by making the bread dough: In a small saucepan, heat the milk to 105 degrees. Remove from the heat and stir in the yeast. Let sit for five minutes.
In a mixing bowl, stir together the sugar, butter, egg, egg yolk, and vanilla until they're well mixed.
Stir in the yeast, and stir until combined. Slowly add the bread flour, stirring until all the flour is incorporated.
Dump the dough on to a floured board, and knead for eight minutes, adding more flour as necessary. Put the dough in an oiled bowl, turning the dough to coat it with oil. Cover with a damp towel and let rise in a warm place for one hour. Preheat the oven to 375 degrees.
Roll the dough out into a 18x12 rectangle. Mix together all the filling ingredients and spread it all over the dough. Roll the long side of the dough up into a rope. Cut the rope in half, and seal the four ends, by pinching the dough together. Twist the two strands together, to form a twisted rope. Place the dough strand on a parchment lined baking sheet. Stir together the egg wash ingredients and brush it all over the bread. Bake the bread for 25 minutes, and then let it cool completely on a wire rack.