In a small bowl, combine warm water and yeast. Let sit until foamy, about 5 minutes.
In a large bowl, whisk together milk, egg, sugar, and salt. Stir in the yeast mixture.
Gradually add flour, stirring until dough comes together. Chill the dough for 30 minutes.
Roll cold butter between parchment into an 8-inch square. Chill.
Roll dough into a 12-inch square. Place butter in center and fold dough over like an envelope.
Roll and fold dough 3 times, chilling between each turn. Rest dough for 1 hour.
Roll out dough and cut into shapes. Fill centers with jam or preserves.
Place on baking sheet, cover, and rise until puffy, about 30 minutes.
Brush with egg wash and bake at 400°F for 15–18 minutes, until golden brown.
Cool slightly and drizzle with powdered sugar glaze if desired.