In a small bowl, combine warm milk, sugar and yeast and give it a stir. Let it sit and become active and bubbly.
In a large bowl or a stand mixer bowl fitted with a dough hook attachment, add in the all-purpose flour, butter, egg and sea salt.
Pour in the yeast mixture and knead until the dough comes together.
If the dough is too sticky, add a teaspoon of flour until it's not overly sticky. It should feel slightly tacky to the touch.
Place the dough ball into a lightly oiled bowl and cover. Let it rest in a warm location until doubled in size, about 1 hour.
Once the dough has risen, punch the dough down.
Roll the dough out into a square about 10" by 10".
Spread the apple mixture over the surface of the dough (don't add the juices that have drained).
Roll up the dough into a log (similar to a cinnamon roll).
Dust the work surface with a little all-purpose flour.
Cut the dough into smaller pieces, about 1.5" in size.
Sprinkle additional all-purpose flour over the cut dough.
Divide and cluster together a few clumps of dough and press together to form into a circular lump.
Transfer each "lump" to a baking sheet lined with parchment paper and repeat with the remaining dough.
Cover the dough with a piece of plastic wrap and leave to rise in a warm location, until slightly puffy, about 20 minutes.