Pour milk in a small saucepan, and stirring frequently with a wooden spoon cook until bubbles appear at the edges of the pan. Don't let it boil.
Add sugar and butter, stir, and let cool to lukewarm.
Add the dry yeast and let it sit for 15 minutes. Don't add yeast in hot milk.
In a bowl of a stand mixer add half of the flour, egg, egg yolks, vanilla, lemon zest, sour cream, salt, and yeast mixture.
Mix with a paddle attachment for 2 minutes.
Change attachment to a dough hook and gradually add the rest of the flour (you may not need all of the flour. From the whole amount of flour, I am left with approximately 1 Tablespoon).
Mix for at least 5 minutes, until the dough is smooth and don't stick to a bowl. The dough should be very soft, but smooth and not overly sticky. If it is too soft add a tablespoon of flour at a time, if it is too hard, a tablespoon of lukewarm water.
Transfer the dough to an oiled bowl, spread a little bit of oil or melted butter over the dough, cover and let it rise until doubled in size, 1.5 to 2 hours.
For the fillings, in a bowl mix all ingredients for walnut filling until fully incorporated, and in a separated bowl mix all ingredients for poppy seed filling until fully incorporated.
Divide the dough to 2 equal parts if you want larger rolls or 4 equal parts if you want smaller ones. For larger rolls, roll every piece of dough to approx. 35 x 50 cm (14×20 inch), and for smaller to 24 x 35 cm (9x13 inch, size of the pan) - the thinner the better, approx. 5 mm (1/4 inch) thick. If making 4 rolls, divide both fillings into equal parts using kitchen scale. Do one roll at the time. The dough will fight you back, as it is very elastic, so be patient.
Fill each roll with the filling (be sure to leave 2 cm (1 inch) on the sides) - for 2 rolls, one with walnut and the other with poppy seed filling, and for 4 rolls, two with walnut and two with poppy seed filling. Roll each roll very tightly from the shorter side, so you can get nicer filling swirl inside. Brush a bit of water on the seam, so the dough sticks together.
Transfer the rolls seamed side down to 23 x 33 cm (9×13 inch) pan, buttered or lined with parchment paper.
Poke each roll all over with a fork. Cover the rolls with a kitchen towel, or cling film, and let it rise for at least 30 minutes.
In the meantime heat oven to 160 C (325 F).
Brush each roll with egg wash and bake in the preheated oven around 30 minutes. Rolls are done when nicely browned and when you knock the top of the roll you hear a hollow sound.
Cover with a damp kitchen towel and leave them to cool in the pan for 15 minutes.
If you didn't roll them very tightly, sometimes upper crust can separate from the filling and to prevent this you can turn each roll upside down while still hot, for 5 minutes.
For me, they are the best served warm. Keep them in an air-tight container for up to 5 days.
These freeze well if wrapped in plastic wrap.