Combine the yeast, sugar and warm milk in a bowl. Give it a stir and leave for a few minutes until the yeast becomes bubbly.
Add the flour, salt, egg and oil into a stand mixer bowl fitted with a dough hook attachment.
Pour in the activated yeast mixture, lightly cooled tangzhong mixture and knead until the dough becomes smooth, shiny and elastic.
Transfer the dough to a lightly greased bowl and cover with a cloth.
Let the dough rise in a warm location, about 1-1.5 hours, until doubled in size.
Once the dough has doubled in size, divide the dough ball into 6 equal portions.
Roll the dough with a rolling pin into an oval, about the length of the hot dog sausage.
Place the hot dog sausage onto the dough, and pinch to seal the seams and edges.
Roll the dough-wrapped hot dog between your hands to smooth out the seam.
Take a sharp pair of kitchen scissors and make deep cuts (but not cutting entirely) along the length of the hot dog.
(You should end up with 8-9 slits).
Place the slit hot dog bread onto a large baking tray or baking pan lined with parchment paper and alternate fanning each sausage "segment" left and right, so it looks like a leaf.
Repeat with the remainder, leaving plenty of space in between each bread.
Use a pastry brush to egg wash the surface of the bread.
Add the shredded mozzarella cheese, corn niblets and green onions on top of each bread.
Cover the bread and leave to proof in a warm location, until slightly puffy.
Preheat oven to 350°F/177°C.
Bake the bread at 350°F/177°C for 15-17 minutes, or until lightly golden in colour.
Transfer to a wire rack to cool.
Garnish with additional green onion or parsley.