Start by heating the milk in a saucepan until it is about 110 degrees F. Remove it from the heat and whisk in the sugar, yeast, and a tablespoon of the flour. Mix until both the sugar and the yeast have dissolved. Let this sit for about 5 minutes, or until the yeast starts to foam.
Put the flour, salt, cinnamon, and nutmeg in the bowl of your stand mixer. Fit the mixer with the dough hook. Pour all of the wet ingredients at once on top of the dry ingredients. Stir everything together with a spatula until it is just combined. Now, mix the dough with the mixer and dough hook on low speed for about 5 minutes.
Cover the mixing bowl with plastic wrap and set it aside in a draft-free place to let the dough rise. It should approximately double in size.
While the dough rises, make the filling. Mix everything together into a smooth paste. Set aside.
Once the dough has risen, punch it down and divide it into two equal parts. One at a time, roll the two parts of dough into rectangles that are 18-20 inches long and 6-8 inches wide.
Spread half of the filling onto each of the dough rectangles/ovals. Spread it around in a thin, even layer.
Roll both pieces of dough up, cinnamon roll style. Start from one of the long sides and roll. You will be left with two "ropes" of dough. Try to keep them approximately the same thickness the whole way through the rope.
Take these ropes, and twist them together, starting from the center. Bring the edges around and seal it into a circle.
Preheat the oven to 375 degrees F. While the oven preheats, let the circle of dough hang out on top of the oven, covered loosely with plastic wrap, on top a sheet pan lined with parchment paper for about 30 minutes.
Brush the dough with egg wash. Bake for 30 minutes, or until everything is puffed up and golden brown. Remove it from the oven and allow it to cool completely.
Whisk the ingredients for the glaze together. It should be thick but still pourable. Spread on top of the cooled cake.
Decorate with sprinkles. If you're into the whole plastic baby thing, don't forget to sneak it into the cooked cake.