Spray a covered container or glass bowl with cooking spray. Set aside.
In the bowl of an electric mixer fitted with a dough hook, combine flour, sugar, yeast, and salt.
In a small saucepan, combine milk and butter.
Heat over medium low heat until butter is melted.
Cool to 115℉/46℃.
Pour over flour mixture.
Turn mixer on low.
As the liquid in incorporated, add the egg.
When the egg is mixed in, turn speed to medium high.
Knead until smooth and elastic, about 7-8 minutes.
Add sprinkles.
Knead only to mix in.
Scrape into prepared container.
Snap on lid, or cover with plastic wrap.
Leave in a warm place to rise (or use a proofing box with a water tray set to 78℉/26℃; don't cover) until doubled in bulk, about 1½-2 hours.
While dough is proofing spray a 10 inch round casserole with baking spray. Set aside.
Make the filling.