In a bowl, mix the flour, the yeast, the sugar and the salt.
Warm the milk, the water and the butter together until they are hand-hot, not hot, and pour them into the flour. Mix well.
On a lightly floured surface, knead for about 8 minutes, until the dough is smooth and elastic and springs back when you press it.
Cover it and let it rest for 30 minutes.
Divide the dough into 7 equal pieces and roll them into balls. Work one at a time and keep the rest covered with plastic so they do not dry out.
Flatten the piece with a rolling pin until it is thin.
Roll it up tightly from one edge, pressing the seam to seal it. If you want cheese inside, lay a piece on the flattened dough before you roll it.
Put the rolls on a baking sheet, cover them and leave them somewhere warm until they have doubled in size, about 60 minutes.
Brush them with the beaten egg and bake in a preheated oven at 375°F (190°C) for about 20 minutes, until golden.
Take them out and brush them with melted butter if you like. Serve hot.