Combine milk and cream in a large microwaveable bowl and heat in the microwave just until warm. In the bowl of a stand mixer, add cream and milk mixture, egg, sugar, flour, yeast and salt. Mix everything with a rubber spatule just until flour is moistened.
Attach the dough hook and turn speed to medium. Knead the dough until it is smooth and gathering in the center. This should take somewhere between 6-10 minutes. To test, take a small amount of dough and stretch it with your fingers. The dough should be able to stretch thinly forming a translucent film as you pull, and then breaks out into circular holes.
Gather the dough into a ball, sprinkle a little bit of flour into a bowl and place the ball of dough inside it. Cover the bowl with kitchen towel and set it on a warm place for one hour to one hour and a half, until size of the dough is doubled. Meanwhile,line a large baking sheet with parchment paper.
Divide the dough into 12 equal portions. Dust your work area with flour and roll each portion into a small rectangle that is slightly thicker than 1/4 inch. Spread softened butter on top, then sprinkle with the walnut-cocoa mixture leaving about half an inch border on sides. Roll the log tightly and pinch the seams and the ends to seal. Refrigerate the logs for about 10 minutes.
Work with one log at a time while leaving the others inside the fridge. Position the log with the seams down. Using a knife, start to slice each log vertically leaving about 1/4 inch on one end uncut. Rotate the two split logs so that the cut sides are facing up. Gently twist the two cut logs together in a spiral manner, as if braiding. Form a coil and tuck the end under it. Place on the baking tray. Repeat with other logs. Let them rise for an hour.
Preheat oven to 350 F. Brush the surface of the rolls with the egg wash. Bake in a 350 F oven for 20-25 minutes or until rolls are golden on top.
Make the Chocolate Walnut Filling
Combine sugar, cocoa, salt and walnuts in a bowl. Stir everything until incorporated and the nuts are coated.
These are best served fresh. For leftovers, Bread can be stored at room temperature in a covered container for up to two days. Warm them in the microwave for 15-20 seconds.