For the dough:
In the bowl of a stand mixer or large mixing bowl, add milk and sprinkle with yeast. Stir to combine. Add egg, butter, flour, sugar, cinnamon and salt, and mix until the ingredients are just barely combined. Let the mixture stand for 5 minutes. Using the hook attachment, beat on medium speed until a soft dough forms. Increase speed to medium-high, and beat until the dough is soft and supple, about 6-8 minutes longer. Alternatively, knead dough on a floured work surface for about 10 minutes.
Kneading with your hands, form the dough into a ball. Transfer to a lightly greased bowl. Cover the dough loosely with plastic wrap or a towel and let sit in a warm place until doubled in size, about 45 minutes to 1 hour.
For the fillings:
While the dough rises, make the fillings. For the cinnamon filling, place softened butter, brown sugar and cinnamon in a medium mixing bowl, and stir with a spatula to form a thick paste. Set aside.
For the apple filling, in a large non-stick skillet set over medium heat, place the apples, butter, cinnamon and nutmeg. Cook until apples are tender and the liquid forms a thick sauce, about 15 to 20 minutes. Remove from heat, stir in lemon juice, and place in refrigerator to cool.
For the bread and glaze:
To form the loaf, on a lightly floured work surface, punch down the dough and, using a rolling pin, roll evenly into a 12×16” rectangle. Using a spatula, spread the cinnamon filling evenly over the dough, then spread apple filling on top. Gently press apples into the filling. Starting with the longer end, tightly roll up the dough to form a 16”-long log. Using a sharp knife, cut the log in half, lengthwise. Place halves next to one another with cut sides facing upwards. Pinch ends together on one side and gently twist the two pieces of dough around each other 3 to 4 times. Finish by pinching the ends together. Carefully shape the twisted dough into a ring by bringing the pinched ends together.
Lightly brush the base of the Bread Oven with oil. Carefully place the braided loaf into the base of the Bread Oven. If some filling pieces have fallen out, tuck them back inside the dough. Cover with lid and set in a warm place for about 30 minutes, until risen and puffy.
While the loaf is proofing, preheat the oven to 350°F. Once the dough has risen, bake covered in preheated oven for 10 minutes. Uncover and bake 30-35 more minutes, until deep, golden-brown and measures 190°F on an instant-read thermometer. Remove from oven and set on a rack to cool.
While the bread bakes, make the glaze. Combine the powdered sugar, milk, vanilla and cinnamon together in a small bowl until smooth. If the icing is too thick, add more milk; if it’s too thin, add more powdered sugar. Drizzle cooled loaf with glaze.
