Combine saffron and 2 teaspoons water in a small bowl; let stand 5 minutes. Place saffron mixture, 2 egg yolks, 3/4 cup warm water, and next 5 ingredients, including yeast packet from bread mix) in a bread machine. Set bread machine to "dough" setting according to manufacturer's instructions; start machine.
When dough cycle is complete, turn dough out onto a lightly floured surface, and knead several times. Divide dough into 3 portions. Form into 3 small loaves, and place in 3 greased 5 3/4" x 3 1/4" loafpans. Let dough rise in a warm place (85°), free from drafts, for 40 minutes.
Combine remaining egg yolk with 1 tablespoon water. Brush tops of loaves with egg wash, and sprinkle with turbinado sugar.
Bake at 350º for 20 minutes or until golden. Remove from pans, and cool completely on a wire rack.
Note: We recommend cooling these loaves on their sides on a wire rack. This helps the loaves maintain their shape.