In a small bowl, warm the milk until slightly lukewarm. Sprinkle the yeast over the milk and allow it to sit for about 5 minutes until it becomes foamy.

In a larger mixing bowl, whisk together the flour, sugar, and salt. Add the melted butter and the foamy yeast mixture. Then, crack one egg into the mixture and stir until combined.

On a floured surface, knead the dough for about 5–7 minutes until it becomes smooth and elastic. Place the dough in a greased bowl, cover it with a clean kitchen towel, and let it rise in a warm place for about 1 hour, or until it has doubled in size.

While the dough rises, prepare the cheesecake filling. In a medium bowl, mix the softened cream cheese, powdered sugar, and vanilla extract until creamy and smooth.

After the dough has risen, punch it down and roll it out on a floured surface to about 1/2-inch thickness. Cut the dough into squares or circles. Place a spoonful of the cheesecake filling in the center of each square/circle, and fold the edges over to seal.

Place the filled buns on a greased baking sheet. Cover them again with a kitchen towel and let rise for another 30 minutes.

Preheat your oven to 350°F (175°C).

Beat the remaining egg and brush it over the tops of the buns for a golden finish.

Bake in the preheated oven for about 20 minutes or until golden brown.

Allow the buns to cool slightly before serving. Enjoy these decadent delights warm!