Activate Yeast: In a bowl, combine warm milk, sugar, and yeast. Let it sit for 5–10 minutes until foamy.
Mix Dough: Add egg, softened butter, salt, and flour. Knead by hand or with a dough hook for 8–10 minutes until smooth.
First Rise: Cover and let dough rise in a warm place for 1 hour or until doubled in size.
Make Cheese Filling: In a bowl, blend cream cheese, ricotta, powdered sugar, vanilla, and lemon zest (if using) until creamy.
Assemble: Roll dough into a rectangle. Spread the cheese mixture over the surface, leaving a ½-inch border. Roll up jelly-roll style, then place seam-side down into a greased loaf pan.
Second Rise: Cover and let rise again for 30-45 minutes.
Bake: Preheat oven to 350°F (175°C). Brush loaf with egg wash and bake for 30–35 minutes until golden brown.
Cool & Slice: Let it cool for at least 20 minutes before slicing. Serve warm or chilled.
