Spray two baking sheets with nonstick cooking spray; set aside. Combine the water, sugar, and yeast. Let stand until yeast dissolves.
In a saucepan, heat milk, butter and salt until just warm (120 degree F to 130 degree F).
In a mixing bowl, combine butter mixture with 2 cups of the flour. Add the egg and the yeast mixture.
Beat with an electric mixer for 30 seconds, scraping sides of bowl. Beat on high speed for 3 minutes. Stir in as much of the remaining flour as you can.
On a floured surface, knead in enough of the remaining flour to make a moderately soft dough that's smooth and elastic (3 to 5 minutes total). Shape the dough into a ball. Place the dough in a greased bowl; turn once. Cover and let rise in a warm place until the dough doubles (1 hour).
Punch dough down. Turn out onto a lightly floured surface. Cover and let rest for 10 minutes.
For each zwiebach, pinch off enough dough to make a 1-1/2-inch ball. Place the dough ball on a prepared baking sheet. Top dough ball with a 1-inch ball of dough. Press your finger, lightly floured, down into center of the balls. Repeat with remaining bread dough.
Bake in a 350 degree F oven for about 15 to 20 minutes. Remove; cool on racks. Serve warm. Makes about 20.