Into a bowl, add the warm whole milk, the oil and the dry yeast, mix well. Add the egg, salt and sugar, mix again.
Keep adding the flour until no longer sticking to your hands.
Remove from the bowl and knead. When it starts to stick again, knead with oil. Let it rest for 40 minutes.
Cut the dough in half and roll it out with a rolling pin.
Add the soft cheese and spread well, add the slices of mozzarella, the grated ham and some oregano to taste.
Fold one of the edges over the filling and brush the dough with some water, fold the other edge over the filling, putting both edges together.
Cut off the excess dough on the tips. Slice the stuffed dough to the size you want. Grease a baking tin with flour and add the rolls. Brush them with a mixture of egg yolk and milk, sprinkle some oregano.
Bake in a preheated oven for 35 minutes or until golden brown.