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1
Combine the warm milk, water, yeast and 2 teaspoons sugar in a measuring cup and let sit for 10 minutes until foamy. The temperature of the milk/water should be about 100 degrees - about the same temperature as a warm bubble bath but not too hot.
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2
While the yeast is resting, combine the flours, 1/3 cup sugar, 3 tablespoons softened butter, salt and 1 tablespoon cinnamon in a large bowl. If you're using a stand mixer, use a paddle attachment and start to mix on slow. Then, drizzle in the water mixture while the machine is running. Increase speed to high and mix until dough is smooth and elastic. If you're working by hand, simply add the water mixture to the dry ingredients and knead on a floured surface for 10 minutes until smooth.
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3
Spray a large bowl with cooking spray and place dough ball in. Cover with a cloth and let rise for 90 minutes in a warm spot.
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4
While the dough is rising, mix the filling for the bread. Combine the remaining butter, cinnamon, sugar, brown sugar and vanilla and mix until smooth.
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5
After the dough has risen to double its size, roll out with a rolling pin on a floured surface into a long rectangle. Smear the butter filling mixture all over the top and roll the rectangle up tightly into a log. And I mean tightly. I didn't roll mine nearly tight enough and the middle of the loaf was very airy and didn't hold together well after the pieces were cut.
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6
Place dough in a greased loaf pan, cover with cloth and let rise for another hour in a warm spot.
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7
Preheat oven to 350 degrees F. Whisk together the egg and 2 Tablespoons of warm water then brush all over the top of the loaf. Bake for 40 minutes. Let cool and slice.
