Dissolve yeast in warm milk; let stand 5 minutes.
Sift together 1 1/2 cups flour, sugar, cocoa, and salt; set aside.
Combine dissolved yeast, egg, shortening, pecans, and vanilla; mix well. Gradually add flour mixture to make a soft dough.
Turn dough out onto a surface sprinkled with remaining 1/2 cup flour; knead 10 minutes or until smooth and elastic. Place in a well-greased bowl, turning to grease top. Cover and let rise in a warm place (85°), free from drafts, 1 hour or until doubled in bulk.
Punch dough down; turn out onto a floured surface, and shape into a loaf. Place in a greased 7 1/2- x 3- x 2-inch loaf pan. Brush top with oil; cover and repeat rising procedure 1 hour. Bake at 375° for 40 minutes or until loaf sounds hollow when tapped. Remove bread from pan immediately; cool on wire rack.
Oxmoor House Homestyle Recipes