Step 1
Combine warm milk sugar and yeast in a large bowl. Let stand for about 10 minutes or until foamy. Mix flour and salt with the yeast mixture butter and egg yolks until shaggy dough starts to form. Dough will be soft (if too sticky add up to 2 tablespoons extra flour as needed). Transfer to lightly floured work surface; knead for 8 to 10 minutes or until smooth and elastic.
Step 2
Place dough in greased bowl. Cover and let rise for 60 to 90 minutes or until doubled in volume.
Step 3
Meanwhile heat oil in large skillet set over medium heat; cook chorizo and rosemary for 8 to 10 minutes or until browned and cooked through. Let cool completely. Stir in parsley.
Step 4
Preheat the oven to 375 degrees F (190 degrees C). Line rimless cookie sheet with parchment paper; set aside. Lightly beat together egg and 1 tablespoon (15 mL) water.
Step 5
Transfer dough to lightly floured work surface. Roll out into 17x11-inch (43x28 cm) inch rectangle about 1/4-inch (5 mm) thick. Scatter cheese and chorizo over top leaving 1/2-inch (1 cm) border. Starting from 1 long end roll up tightly into a log. Pinch ends of log and seal together to form a ring. Transfer to cookie sheet.
Step 6
Without cutting all the way through and keeping ring intact make 12 cuts into ring at 1-inch (2.5 cm) intervals starting from outer edge. Gently pull and twist cut pieces to reveal pinwheel filling.
Step 7
Cover dough and let stand for 45 to 60 minutes or until doubled in size.
Step 8
Bake for 20 to 30 minutes or until golden brown.