Dissolve the yeast in the water and allow to infuse for 5 minutes (it should start to bubble). In a large bowl mix the flour, salt and sugar. Add the milk, oil and whole egg plus the white. Mix with your hands until blended into a dough, and then shape into a ball.
On a lightly floured surface, knead the dough until its smooth and pliable, (5-6 minutes). Cover with a tea-towel and allow to prove in a warm place for 1½ hours. It should double in size.
Meanwhile prepare the filling. Crumble the feta cheese into a bowl, season with black pepper and add the chopped parsley and mix well. Blend the yogurt into the cheese and parsley and mix well. Add a little salt if the feta is unsalted.
Knock back the dough and then knead to get out any trapped air. Beat the remaining egg yolk. Pull off small balls of the dough (about 4cm in diameter).
Flatten the dough balls in your palm, then place a spoonful of the cheese filling onto one side of the dough circle. Fold the other half over and seal the edge, and then shape the dough into a pointed oval shape. Repeat until all the dough and filling mixture is used up.
Preheat the oven to 180°C , Gas Mark 6.
Brush the rolls with the beaten egg, sprinkle with sesame seeds and then cook in the oven for 25 minutes until golden brown. Remove from the oven and allow to cool a little before serving as a hot appetizer or lunchtime snack.