In a stand mixer bowl, combine flour, sugar, egg, milk, water, and yeast in a stand mixer. Knead 10 minutes on medium speed, adding butter cube by cube until incorporated. Alternatively, knead by hand. Lightly grease the bowl and dough, cover, and let rise until doubled, 1–2 hours.
Mix all filling ingredients and refrigerate until ready to use.
Roll dough on a floured surface and cut into small squares. Pipe filling onto each square, fold into an envelope, and seal edges tightly. Arrange on a parchment-lined baking sheet. Let rise for 30 minutes while the oven preheats to 350°F/180°C, conventional bake. Brush with beaten egg and bake for 18–20 minutes.
Cool slightly, dust with powdered sugar, and serve.
RECIPE NOTES
Per bun: Calories 62 | Protein 2.3 g | Carbohydrates 7.5 g | Fat 1.5 g