Prepare the Dough: Combine warm milk, warm water, sugar, and yeast in a large mixing bowl. Let sit for 5–7 minutes until foamy. Add softened butter, egg, and salt. Stir until combined. Gradually add flour, mixing until a soft dough forms. Knead for 8–10 minutes until smooth and elastic. Place in a greased bowl, cover, and let rise for 1 to 1½ hours until doubled in size.
Make the Cream Cheese Filling: Beat together softened cream cheese, sugar, vanilla extract, and flour until smooth. Stir berry jam until smooth and spreadable.
Shape the Bread: Punch down the dough and roll it into a 12×18 inch rectangle. Spread cream cheese mixture, then spoon berry jam over it. Roll tightly into a log and slice lengthwise. Twist the halves together and place in a greased bread pan.
Let the Dough Rise Again: Cover and let rise for 40–45 minutes. Preheat oven to 350°F (175°C).
Bake the Bread: Whisk together egg yolk and milk for egg wash. Brush the loaf and bake for 35–40 minutes until golden brown.
Cool and Serve: Allow to cool completely before slicing. Serve warm or at room temperature.
