In a small pot, combine ⅓ cup flour, plus half cup each milk and water. Whisk, over medium heat until you have a thick paste. Set aside to cool.
Warm the other half cup milk (just to touch) and combine it with the yeast. Let set until foamy.
In the bowl of your stand mixer fitted with a dough hook, add the oil, sugar, two eggs and vanilla in a bowl. Whisk with a fork to combine. Add the roux, the yeast and milk mixture, the flour and the salt.
Knead until the dough comes together in a sticky mass. Remove ½ of the dough, and place it into an oiled bowl.
To the half of the dough still in your mixer, add 3 tablespoons more flour. Knead until dough is smooth then set it in an oiled bowl and cover with plastic wrap.
Take the other half of dough and place it, the egg yolk and the cocoa into the stand mixer. Knead until smooth. Place back in oiled bowl and cover with plastic wrap. Save the egg white for the egg wash.
Both doughs should take about 2 hours to rise (in a slightly cool kitchen) but you can also allow them to rise in the fridge overnight.
Warm the chocolate hazelnut spread in the microwave for 10-20 seconds, until it is spreadable.
On a well-floured countertop, roll out the vanilla dough into a large rectangle (the size of a half cookie sheet, about 16×12 inches). Spread half of the chocolate cream over the dough.
On a large floured counter top or cutting board, roll out the cocoa dough into an equally sized rectangle, place it on top of the vanilla dough and then spread the remaining half of cream over it.
Fold the dough in half from the bottom so that you have a longer, thinner rectangle.
Using a sharp knife, divide the dough into 1 inch sticks.
Take each stick and twist it around itself, either hand moving in opposite direction.
Form a circle with the dough and pinch the ends together.
Place on a parchment lined cookie sheet pan.
Allow to rise for 45 minutes, until puffy.
Brush with egg white on the dough parts (avoid the exposed cream).
Preheat oven to 350 F.
Bake for 15-20 minutes, until there is a golden color on the vanilla dough. Buns are best the day they are baked but can be enjoyed the next day if microwaved.