Preheat oven to 375°F and line a baking sheet with parchment paper.
Cut the entire slab of Hawaiian rolls in half horizontally, keeping them attached.
Place the bottom half on the baking sheet and set the top aside.
In a bowl, mix softened cream cheese, sugar, vanilla, lemon juice, and egg yolk until smooth.
Spread the cream cheese mixture evenly over the bottom half of the rolls.
Place the top half of the rolls back on.
Whisk the whole egg with milk to make an egg wash and brush it over the tops of the rolls.
Bake for 15–18 minutes until golden brown.
Let cool slightly, dust with powdered sugar if desired, and slice to serve.