How to Make It
In a food processor or a standing mixer fitted with the paddle attachment, whirl or mix 2 cups flour and the sugar, salt, yeast, and milk until a sticky dough forms.
Add butter and cream cheese and pulse or mix on low speed until just blended. Pulse or increase speed and beat until thoroughly incorporated, about 1 minute. Pulse or beat in 1/4 to 1/2 cup more flour as needed, 2 tablespoons at a time, until the dough begins to pull away from the sides of the bowl (dough will look sticky). If using food processor, scrape dough into a large bowl. Cover dough and chill at least 12 hours or up to 1 day.
Scrape dough onto a lightly floured surface. Divide in half. With a lightly floured rolling pin, roll each piece into an oval about 12 inches long and 6 inches wide. Spoon jam down center of each. Fold one long side of each oval over jam. Fold other side over, as if folding a letter. Place rolls about 3 inches apart on a buttered or cooking parchment-lined 12- by 15-inch baking sheet. Cover with plastic wrap; let stand 30 minutes.
In a small bowl, mix egg yolk and 2 tablespoons water. Brush rolls lightly with egg mixture.
Bake in a 350° regular or convection oven until golden brown, 20 to 25 minutes. With a wide spatula, transfer to a rack and cool completely. With a serrated knife, cut roll diagonally into 2-inch-wide slices. Sprinkle slices with powdered sugar.