In a mixing bowl, add heated milk, sugar, and sprinkle active dry yeast over. Add butter, egg, and Ube Halaya. Mix until blended.
Add salt and flour, mix until fully combined and dough is forming together and becoming stiff.
Attach the dough hook, and kneed the dough on low speed for 9 minutes. Reposition the dough if needed. Dough should be slightly sticky, but if it's sticking to your hand, add more flour. (Kneed by hand instead of using a dough hook on a mixer, place dough on a floured surface and kneed for 9 minutes).
Place dough in a large bowl, cover with plastic wrap or a warm towel. Let it rise for 1 hour or until it has doubled in size.
Punch out the air in the dough and roll dough out on a floured surface into 16"x12" by 1/2" in thickness, spread filling evenly. Roll up the dough and cut off the ends about 1/2" that does not have enough filling. Cut into 12 pieces.
In a large rectangular pan, lined with parchment paper and lightly greased with butter, place 12 pieces into the pan. Set aside and let rise for 1 hour.
Bake at 350 F for 18-20 minutes until edges are starting to brown. Cool down before icing.