Into a bowl, add the warm water, the milk, the oil, the sugar and the dry yeast powder, mix very well. Add 1 egg white and set the yolk aside.
Gradually add the wheat flour and the salt, keep mixing it all together and adding the flour. Once you can no longer mix it with the spoon, use your hands.
Shape the dough into a ball and put it back in the bowl. Cover with a table cloth or plastic wrap and leave it until doubled in size.
Remove the plastic wrap and press down on the dough to remove all the air bubbles.
Transfer the dough to a table sprinkled with wheat flour. Shape it into a ball again. Cut the dough in half then split it into 9 equal-sized pieces. Roll each dough piece into a little ball.
Using a rolling pin, stretch these dough balls into a circle, not too thin nor too thick.
Transfer one of these pieces of dough to a plate and brush some melted butter all over it. Cover it with another piece of dough, brush it with butter again and repeat this process until you've used up all pieces of dough. Do not brush the final piece of dough with butter. Cover with plastic wrap and set aside for 10 to 15 minutes.
Remove the plastic wrap, sprinkle the table with flour and place the dough on it. Stretch it with a rolling pin into a circle.
With a knife or pizza cutter, slice this circle into small pieces, like pizza slices. At the base of each slice, make small cuts as well.
Put some grated mozzarella cheese on each slice.
Roll up each slice and place them on a baking sheet greased with butter and flour.
Get the egg yolk we've set aside and add some milk to it, brush this mixture all over the breads. Now bake in a preheated oven at 250°C (482°F) for 25 to 35 minutes.
Serve.