Pour the warmed milk into a bowl, add in the sugar and yeast. Give it a stir and let the yeast activate and bubble.
In a bowl of a stand mixer fitted with a dough hook, add in the flour, egg, oil and sea salt. Start the mixer of low and pour in the activated yeast and milk.
Knead until the dough starts to come together and forms a smooth and elastic ball, about 7-8 minute of kneading.
Put the dough into a lightly greased bowl and cover with plastic wrap. Place in a warm location and let the dough double in size (approximately 90 mins, depending on how warm your kitchen is).
Prepare a baking sheet with parchment paper. Set aside.
Once the dough has risen, deflate the dough and divide in 10 equal portions (if making regular sized buns) or 15 portions (if making mini sized).
Roll each portion of dough into a long cylinder.
Take one stick of pepperoni and begin to coil the dough at an angle around the pepperoni. Tuck in the ends.
Place onto a baking sheet. Repeat with the remainder.
Preheat the oven to 350°F/177°C.
Loosely cover the buns and let rise for another 20 minutes, or until slightly puffy.
In a small bowl, lightly beat an egg. Use a pastry brush to gently brush the tops of the buns. Add sesame seeds or any toppings you desire.
Bake at 350°F/177°C for 18-20 minutes, until lightly golden. If the tops are browning too quickly, place a piece of aluminum foil over top.
Glaze (optional): In a small bowl, dissolve 1 tablespoon granulated sugar with 1 tablespoon hot water and use a clean pastry brush to brush the tops of the baked buns. Return the buns into the oven (with the heat turned off) for another 2 minutes.
Remove buns and let cool on a cooling rack.
Best served freshly made. Or keep in an airtight container at cool room temperature for up to 3 days.