Combine yeast, warm milk, and sugar. Let stand five minutes.
Combine yeast mixture, butter, egg, salt, and half the flour: beat with mixer or food processor just until mixed and smooth. Gradually add in flour to make a soft dough. I use a food processor and mix for 45 seconds until a soft ball is formed.
Place dough in a well-oiled bowl, turn to grease the top of the dough. Cover in a warm area for about an hour until dough rises and almost doubles in size. TIP: You can also at this point put the dough in an oiled zip-loc bag and keep it in the refrigerator for at least an hour up to four days. I put the dough in the refrigerator because I like to roll the dough out while it is cold. While the dough is rising make the cinnamon-sugar filling Combine the sugar and cinnamon in a small dish and stir well.
If not refrigerating the dough and dough has doubled, punch dough down, turn it out onto the floured surface, and kneed a couple of times.
Divide dough in half. Roll out each half into about 7 by 15-inch rectangles
Brush each rectangle with half of the melted butter and then sprinkle each rectangle with half of the cinnamon-sugar filling mixture. Starting with long side roll-up dough (link when rolling for cinnamon rolls). Press the roll together at the seam.
Wind the two rolls together, forming one thick rope. Place on baking sheet lined with parchment paper. Form rope into a ring pinching ends together to seal.
Cover the dough loosley with plastic wrap (sprayed with cooking spray so it doesn't stick) and let it rise until doubled, about 1 hour
Preheat the oven to 350°. Bake the cake until it is golden brown, 20 – 35 minutes.
Remove from oven and let cool about 15 minutes before icing.
If hiding a plastic baby poke it inside the cooled cake before icing.
Spoon icing over the top of the cake. Immediately sprinkle on colored sugar, alternating between the three colors.