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In a small bowl, dissolve the yeast in the warm water and let stand until frothy, about 10 minutes.
Sift the flour into a large mixing bowl. Add the salt and mix well. Make a well in the center and add the yeast mixture, milk, egg, and butter. Stir with your hand to incorporate the ingredients.
Scrape the dough onto a lightly floured surface and knead until smooth and elastic, about 10 minutes. Put the dough back into the large mixing bowl, cover, and let rise in a warm spot until it doubles in bulk, about 1 ½ hours.
Toast the fennel and cumin seeds on a hot skillet for about 2 minutes. Grind the spices and combine all filling ingredients except the butter. Gradually add the melted butter and rub until fine crumbs.
Melt the butter for the spread and set aside to cool.
Prepare the baking sheets and work surface. Roll out the dough into a large rectangle, layering with butter spread between each layer.
Cut the layered rectangle into strips, roll each strip into a tight roll-up, and fill with spice filling.
Seal the roll-ups and flatten them into disks. Place on baking sheets.
Preheat the oven to 360°F. Brush the tops with egg yolks and sprinkle with Nigella seeds. Bake for 40 minutes until golden.
Allow to cool completely before serving. Store in a covered container or freeze.