To make the dough, add the milk, caster sugar, yeast, melted butter and egg to a stand mixer with a dough hook attachment. With the motor running, slowly add the flour and cocoa powder, until it’s all incorporated. Scrape down the sides of the bowl, then knead with the dough hook for 10 minutes. Transfer the dough to a clean bowl, cover, and let it prove somewhere warm until doubled in size - about an hour.
Scrape the filling out of the middle of the Oreos and separate into two bowls. Add the cream cheese, icing sugar and vanilla paste to the Oreo fillings and mix. Finely chop the Oreo biscuits.. Butter a 23cm cake tin, and line the bottom.
When the dough has risen, knock it back and turn onto a floured surface. Roll out into a rectangle, roughly 3mm thick. Use a knife to split the rectangle into three long strips.
Spread the cream cheese filling across one half (lengthways) of each dough strip, and sprinkle with three quarters of the chopped Oreos, reserving the rest for later. Then fold each strip in half, over on itself, so that you have a long parcel - open on one long edge and folded on the other.
Take the first strip of dough, and roll it up like a cinnamon roll. Place this, open side up, in the middle of your cake tin. Carefully use the other two strips of dough to carry on the Oreo roll, until all the dough is used up and the tin is nearly full.
Cover the dough again and put in a warm place until it’s almost doubled in size - around 30 to 60 minutes. Preheat the oven to 200C (180C fan). When the dough has risen, bake for 30-40 minutes until golden brown.
When cooked, remove the roll from the oven and transfer it to a wire rack to cool. Loosen up the remaining cream cheese with a small amount of milk. When your Oreo roll is cool, drizzle with the cream cheese and sprinkle over the last of the chopped Oreos.