Combine warm milk, yeast, and sugar; let sit for 10 minutes.
In a bowl, mix flour, salt, and melted butter.
Add yeast mixture and egg; knead until smooth.
Cover and let dough rise for 1 hour.
Preheat oven to 375°F (190°C).
Roll out dough to 1/4 inch thick and cut into squares.
Place filling in the center of each square.
Fold dough over to form a triangle and seal edges.
Place on a baking sheet and bake for 15-20 minutes.
Cool slightly before serving.