If using active dry yeast or fresh yeast, heat the milk in the microwave or on the stovetop until it is “fingervarm” (finger warm), meaning it should feel warm to the touch but not hot. Add your yeast, stir, and leave it for 5-10 minutes until the mixture starts to bubble up. If using instant yeast, there is no need to dissolve it, and you can add it directly to a mixing bowl/bowl of a stand mixer with the milk!
Combine the egg, egg yolk, sugar, salt, and olive oil in a large mixing bowl or the bowl of a stand mixer. Add your yeast and milk mixture (or separate ingredients if using instant yeast) to the egg mixture and mix together.
Add the whole wheat flour to the mixture.
Measure out your bread (or all-purpose) flour in a separate bowl. Add about half of it to start. Start kneading the dough and add more flour as needed. You may not end up using all of the bread flour - make sure your dough is not too dry, but doesn't stick to the sides of the bowl as you are kneading it. Either by hand or using a stand mixer, knead the dough for 10 minutes until it passes the window pane test. Cover your dough and let rise for about an hour or until doubled in size.
Right before your dough is ready, mix together your olive oil, garlic (finely chopped, or you can use a garlic press), and black pepper in a bowl for the filling.
Once doubled in size, turn out your dough onto a floured surface and roll into a rectangle, about 12" by 16" in length.
Brush your dough with the olive oil and garlic mixture.
Distribute your cheese over the top half of the dough.
Fold the bottom half of the dough over the top. Cut your dough into 12 equal sized strips (about 1 inch in width).
To make the twists, start by holding one end of the dough down and twist the strip while it is still on the surface.
Once twisted, lift the strip and twist it around your index and middle finger about two times.
Seal the ends together through the middle of the twist by pressing them together - this will help keep them from unravelling.
Place the twists on a baking sheet lined with parchment paper. With twelve twists, you will very likely need to bake them on two baking sheets. You can bake them at the same time if you move the oven racks in the oven to a more spaced out position, or you can bake the sheets one at a time on the center rack.
Cover the twists (with plastic wrap or a damp dish towel) and let them rise for a second time, about 45 minutes until they pass the poke test - when you poke the dough, it should not spring back immediately, but leave a slight indentation. If any of the twists have unraveled, make sure to reseal the ends in the center of the twist. Towards the end of the rising time, preheat your oven to 350 F (175 C).
Egg wash your twists and bake for 12-15 minutes until golden brown.
Let cool slightly on a wire rack before enjoying. If they cool down all the way, you can heat them back up in the microwave for about 10-15 seconds. Enjoy!