Prepare the Dough: In a small bowl, dissolve the yeast in warm milk and let it sit for 5-10 minutes until frothy. In a large bowl, mix the sugar, melted butter, egg, and salt. Add the yeast mixture and gradually stir in the flour until a soft dough forms. Knead the dough on a floured surface for about 5-7 minutes, until smooth and elastic. Place the dough in a greased bowl, cover, and let it rise in a warm place for about 1 hour, or until doubled in size.
Prepare the Filling: While the dough is rising, scramble the eggs and cook the sausage and bacon. Combine the scrambled eggs, crumbled sausage, crumbled bacon, and shredded cheese in a bowl. Stir with your hand and season with salt and pepper to taste.
Shape the Kolaches: Preheat the oven to 375°F (190°C) and line a baking sheet with parchment paper. Punch down the dough and divide it into 12 equal pieces. Flatten each piece into a disk and place a spoonful of the filling in the center. Fold the edges of the dough over the filling and pinch to seal. Place the kolaches seam-side down on the prepared baking sheet.
Brush with Egg Wash: Brush the tops of the kolaches with the egg wash.
Bake: Bake in the preheated oven for 18-20 minutes, or until golden brown.
Serve: Remove from the oven and let cool slightly before serving warm.
