Combine all ingredients in bowl of stand mixer with dough hook attached. Knead dough on low until smooth. Dough will still be sticky.
Place dough into a lightly greased bowl, cover and allow to rise for about 1 hour or when dough has doubled in size.
Remove dough from bowl and use a knife or bench cutter to cut into 12 equal size pieces. When I weighed my dough each piece was about 80g. Weighing is not necessary if you don't mind the buns not being exactly uniform in size.
Shape each piece of dough into a ball. Fold and pinch together the sides to create tension. Place the seam side down and gently cup hand over dough, and move hand in a circular motion until dough has formed a ball.
Place all dough balls onto a lined baking sheet and cover. Let rise for about 1 hour until they have puffed up.
Preheat oven to 350°F. Whisk together egg and milk.
When buns have risen, brush with egg wash before placing in oven.
Bake for 15-18 minutes on center rack. Buns will be a deep golden color when ready.
Place baked buns on a wire cooling rack to cool.
While buns are cooling, pour cream, vanilla, powdered sugar and pinch of salt into bowl and whisk until medium-stiff peaks form. Chill whipped cream.
After buns have come to room temperature, slice down the middle but not all the way through the bun. You want to be able to open them to fill but not split apart (sort of like a hot dog bun).
Fill the buns with whipped cream. I find using a piping bag easiest but it is not necessary. After it is filled, run a knife or offset spatula over the top of the bun to smooth out the whipped cream, leaving it flush with the surface of the bread.
Sprinkle the tops lightly with powdered sugar. Enjoy!