Combine 2 cups of flour with sugar, yeast, and salt in a large bowl. Add lukewarm milk, egg, and butter, then mix with a bread mixing attachment until the wet ingredients are incorporated and the mixture begins to form a dough.

Scrape the bowl and gradually add the remaining flour in 1/2 cup portions, mixing after each addition until the dough comes together. Knead by hand until the dough is workable and elastic.

Transfer the dough to a large buttered or greased bowl, cover with plastic wrap, and allow it to rest in a warm place for 1 hour. Once doubled in size, press the dough down, fold the corners into the center to form a compact ball, cover again with the corner side down, and rest for another 30 minutes.

While the dough rises, cook the apples, butter, brown sugar, cinnamon, and vanilla together in a saucepan over low heat.

Simmer the mixture for about 10-15 minutes until the apples are tender and the mixture has thickened slightly. Stir in the chopped walnuts and set the filling aside.

Roll the dough into a 9×15 rectangle. Spread 1/3 of the apple mixture evenly over the dough.

Starting from the wide end, roll the dough around the filling. Slice the rolled dough into 12-15 spiral rolls with a large knife and place them in a large buttered ovenproof skillet, leaving space between rolls for expansion.

Preheat the oven to 350°F (177°C). Cover the rolls and let them rise again for 30 minutes.

Pour 1/3 of the apple mixture over the risen rolls. Bake for 15-25 minutes, or until lightly browned and baked through.

Pour the remaining 1/3 of the apple mixture over the hot rolls before serving.