Heat the milk to 120 – 130 F. In a small bowl, combine 1 cup of the milk with 1 tablespoon of the sugar. Whisk. Add yeast and give it a quick stir. Let sit for 10 minutes until yeast is foamy.
Add saffron, the 1/8 teaspoon cinnamon and nutmeg to the rest of the milk.
Using an electric mixer, combine the flour, remaining sugar and salt with the paddle attachment.
Add proofed yeast, saffron milk, butter and egg yolk and mix well using the dough hook.
Continue to knead with the dough hook until the dough comes together to a soft dough, for about 5 minutes. (Knead for 10 minutes if doing by hand)
Cover with plastic wrap and a kitchen towel and let rise for 1 hour, until doubled in size.
In a small bowl, combine the filling ingredients and mix well. (I ran out of sugar cubes so used a combination of sugar cubes and sugar candy)
Punch out air from risen dough. On a lightly floured board, roll out dough to a rectangle. Sprinkle cinnamon sugar on top. Starting at the narrow end, tightly roll the rectangle into a cylinder.
Spray a loaf pan with non stick spray. Sprinkle remaining 2 tablespoons sugar for dusting inside the loaf pan.
Place dough, seam side down in the pan. Cover and let rise another hour, until doubled in size.
Preheat oven to 400 F.
Bake for 30 minutes.