In a bowl, add the warmed milk, granulated sugar and yeast. Give it a stir and let the yeast activate and become bubbly, about 5 minutes.

To a stand mixer bowl fitted with a dough hook attachment, add the flour, egg, salt, and oil.

Add in the activated yeast mixture and knead until the dough becomes smooth and shiny, about 8-10 minutes.

Transfer the dough to a lightly greased bowl and cover with a tea towel.

Let the dough rise in a warm location until doubled in size, about 1-1.5 hours, depending on how warm it is.

Once the dough has proofed, divide into 10 equal portions.

Preheat oven to 375°F/191°C.

Roll each portion into a oblong square, about 4.5" by 4".

Place a pepperoni stick at one end (the wider end) and cut a few slits perpendicular to the pepperoni.

Add cheese and scallions to the pepperoni.

Working from the end with the pepperoni, roll the dough up and place seam-side down on a baking sheet lined with parchment paper.

Repeat with the remainder.

Lightly brush the tops of the buns with beaten egg.

Sprinkle with sesame seeds (optional).

Bake the buns at 375°F/191°C for 18-20 minutes, or until golden brown.

Remove from oven and transfer to a wire rack to cool.