Combine egg and 1 teaspoon water in a small bowl; stir with a whisk. Reserve 1 tablespoon egg mixture; set aside.
Dissolve yeast and sugar in 1 cup warm water in a small bowl; let stand 5 minutes. Lightly spoon flour into dry measuring cups; level with a knife. Combine yeast mixture, flour, remaining egg mixture, and next 4 ingredients in a large bowl; stir until a soft dough forms.
Turn dough out onto a lightly floured surface and knead until smooth and elastic. Place dough in a large bowl coated with cooking spray, turning to coat top. Cover and let rise in a warm place (85°), free from drafts, 45 minutes or until dough has doubled in size. (Press two fingers into dough. If indentation remains, the dough has risen enough.)
Punch dough down; divide in half. Shape each half into a 12-inch rope. Place ropes lengthwise on a baking sheet coated with cooking spray (do not stretch); pinch ends together at one end to seal. Twist ropes, and pinch end to seal; tuck both ends slightly under. Cover dough, and let rise 35 minutes.
Preheat oven to 375°.
Brush reserved 1 tablespoon egg mixture over dough. Bake at 375° for 35 minutes or until golden. Cool on a wire rack.