Make the dough:
In a large bowl, heat milk until warm - about 30 seconds in the microwave should do. Add the yeast and sugar. Whisk together until thoroughly combined and let sit until foamy, about 10 minutes. Add the rest of the dough ingredients (butter through salt) to the milk mixture, stirring everything until it comes together to form a shaggy ball. Then knead the dough by hand (or with a dough hook attachment) until it’s smooth and elastic - this will take about 10 minutes (or less if using a stand mixer). Shape dough into a ball and place in a lightly oiled bowl, cover and let it rise until doubled in size, about 1 hour.
Make the filling:
Freeze peanuts for at least 30 minutes; this will prevent the peanuts from turning into butter when processed. In a food processor, pulse the cold peanuts, granulated sugar and cinnamon until finely ground. Set aside.
Shape and bake the loaf:
Line a baking sheet with parchment paper. After the dough has risen, punch it down and divide into 4 equal pieces. Using a rolling pin, roll one piece into a circle, about 10 inches in diameter, and transfer to the prepared baking sheet. Spread one-third of the peanut butter in an even layer over the top of the dough, leaving a 1” border around the edges. Sprinkle on one-quarter of the peanut sugar. Repeat with remaining portions of dough, leaving the last circle bare. Transfer to the refrigerator to chill for 30 minutes. Place a 2" round cutter in the center of the stack of dough. Use a sharp knife to cut dough into 16 wedges, leaving the area inside the round cutter intact. Using your hands, gently twist two adjacent wedges away from each other a few times and pinch ends to seal. Repeat with remaining wedges of dough. Preheat oven to 400 degrees. Let dough rise for 30 minutes and then brush top of loaf with the beaten egg and sprinkle with remaining peanut sugar. Bake for 15-18 minutes until golden. Transfer to a wire rack to cool.