In a medium bowl, mix the warm milk and the yeast and let it sit for a few minutes.
Transfer this mixture to your stand mixer bowl and add the oil, the salt. Turn the mixer on low and slowly add the flour until the dough is consistent and coming off the bowl. You should have a little flour left to dust your counter.
Dust your counter with the remaining flour and knead the dough until it’s smooth. Let it rest for 15 minutes.
To fill your loaves:
Preheat oven to 350 degrees.
After 15 minutes, divide your dough into 2 equal parts.
Using a rolling pin, open the dough into a rectangle.
Spread the tomato sauce, season it with some salt and then add half the mozzarella cheese and half the ham.
Spread half the cream cheese on top of the ham and sprinkle some oregano to taste.
Turn the borders in and roll your loaf like a roulade.
Repeat with the other half of the dough.
Brush the loaves with egg wash and grate some Parmigiano Reggiano on them.
Bake your loaves, seam side down, for 30-40 min or until golden brown.