Heat milk in microwave for 30 seconds. Add yeast and sugar, mix until yeast has dissolved. Cover for 10 minutes (yeast will activate)
Mix flour, olive oil, salt, pepper, cayenne, and onion powder, then add milk/yeast mixture. Mix for 10 minutes (using stand mixer or bread maker), remove, cover and leave for 45 minutes in warm area (dough will rise).
Roll dough out to a 10"x 15" rectangle. Spread Vegemite evenly across, and sprinkle with cheese.
Roll the dough to a scroll (tightly).
Cut into 1.5" sections and place cut sides down close together on a baking tray that has been lightly greased with olive oil.
Lightly beat the egg, and baste the top and sides, and sprinkle additional cheese on top.
Cook for 25 minutes or until golden brown.
Eat this hot out of the oven for maximum effect! If you aren't that fond of Vegemite, go easy and use less of it. The aroma coming from the oven is amazing!