Line a large baking sheet with a piece of parchment paper and set aside.
Place the yeast and sugar in a large bowl, and set aside.
In a small saucepan on low heat, heat the milk and water until they reach 110 degrees F. Gently pour the warm milk mixture into the yeast and sugar and stir gently.
Allow the mixture to sit for 5 minutes, at this point, the yeast should be alive and bubbly.
Add the egg, sea salt, and softened butter and mix roughly before adding the flour.
Start by adding 3 and 1/4 cups flour and mixing with your dough whisk until it comes together in a ball. If the dough is wet or sticky, add more flour a 1/4 cup at a time until the dough comes together to form a ball. Turn the dough out onto a lightly floured surface and knead for 4 minutes or until smooth. The finished dough should be very soft and smooth.
Place the dough in a large bowl and cover loosely with a tea towel or plastic wrap, and let the dough rise at room temperature or in a warm place for 60-90 minutes or until doubled in size.
While the dough rises, prepare the cinnamon sugar filling. In a small bowl combine the brown sugar and ground cinnamon, and stir to combine, add the softened butter. Then using a fork or your hands, mix until the butter is completely incorporated. You should have a dark brown crumbly mixture. Set aside until ready to use.
Once the dough has risen gently punch it down and turn it out onto a lightly floured work surface, and divide the dough into 4 equal pieces.
Roll out the first piece of dough into a 10-inch circle, roughly 1/4-1/2 an inch thick. Place the first layer on your parchment-lined baking sheet and roll out the second piece of dough.
Sprinkle 1/3 of the cinnamon sugar mixture over the dough leaving roughly a 1/2-inch gap around the edge of the dough, then gently smooth the sugar out with your hands or the back of a spoon.
Place the second round of dough on top of the cinnamon sugar. Cover the second layer of dough with half of the remaining cinnamon sugar mixture, again leaving a 1/2-inch gap around the edge of the dough, and smooth the sugar out.
Roll out the third piece of dough and place it over the second layer of cinnamon sugar. Top with the remaining cinnamon sugar mixture, and gently smooth it out. Finally, roll out the fourth piece of dough, and place it over the third layer of cinnamon sugar, this is your final top layer. At this point, you should have 3 layers of cinnamon sugar and 4 layers of dough.
Using a pizza cutter, carefully cut around the dough, trimming any extra overhang. Do your best to trim the dough into a circle. You can either bake the scraps of dough you cut off or discard them. With a biscuit cutter or canning jar lid, make a roughly 2-inch big circle in the center of the dough. Push your cutter or jar lid down just hard enough to leave an imprint in the dough. Then using a sharp knife cut around the 2-inch circle, about 3/4 of the way down. You do not want to cut through the bottom of the dough! Then using a pizza cutter, and starting from the edge of the 2-inch circle on the center of the bread, cut the dough into 16 equal strips. Using your hands, gently lift 2 of the strips slightly off the baking sheet, and twist them over twice in opposite directions. Set them back down and gently press the ends of the dough together. Repeat with the remaining strips of dough.