Step 1
Dissolve yeast in warm milk in a bowl. Let stand until yeast softens and forms a creamy foam about 5 minutes.
Step 2
Combine yeast mixture with flour and Parmesan cheese in the bowl of a stand mixer fitted with the dough hook attachment; mix well. Add yogurt and egg and slowly mix together. Add salt and pepper; mix until dough has pulled together. Turn it out onto a lightly floured surface and knead until smooth elastic and no longer sticky about 10 minutes.
Step 3
Place dough in a large lightly-oiled bowl and turn to coat. Cover with a towel and let rise in a warm place until doubled in volume about 2 hours.
Step 4
Punch dough down and turn onto a lightly floured surface. Roll out into a 20x4-inch rectangle. Mix ricotta cheese and Parmesan cheese together in a bowl and spread onto the dough. Cover with mortadella slices. Roll dough tightly lengthwise and press edges of log tightly together.
Step 5
Slice dough log into 3/4-inch slices so you have at least 16 rounds.
Step 6
Line a baking sheet with parchment paper. Lay dough rounds in the shape of a Christmas tree leaving a a bit of room in between since they will rise. The bottom row should consist of 5 rounds the second row 4 rounds etc. Place the last round on the bottom as the trunk. Cover with plastic wrap and allow to rise for 1 hour.
Step 7
Preheat the oven to 400 degrees F (200 degrees C).
Step 8
Beat egg yolk with 1 tablespoon milk in a small bowl and brush onto dough rounds.
Step 9
Bake in the preheated oven until puffed up and golden 20 to 25 minutes. Remove from oven and allow to cool before serving.