Activate the yeast. In a bowl, stir together yeast, sugar, and water. Let it sit until foamy, about 15 to 20 minutes.
Combine the other ingredients. Add flour to your mixer and create a well. Pour in warm milk, vegetable oil, salt, and eggs. Don't mix until the yeast is ready.
Mix in the yeast mixture. Pour it into the flour mixture and stir to combine.
Knead the dough. Attach a dough hook and knead for 2-3 minutes until it pulls away from the bowl. Adjust with milk or flour if needed.
Shape the dough into a ball. Transfer to a floured bowl, cover, and rise for 30 minutes.
Make the filling. Mix feta and ricotta in a bowl.
Preheat oven to 400°F.
Divide and shape the dough. Punch down, roll into a circle, and cut into slices.
Fill the slices with cheese mixture, roll up, and place on baking sheets.
Brush the rolls with beaten eggs, sprinkle sesame seeds, and bake for 15-20 minutes until golden.
Finish and serve. Optional: top with butter and enjoy fresh.