Preheat oven to 400 degrees. Line a baking sheet with parchment paper or a silicone baking mat and set aside.
In a large mixing bowl, use a hand-held mixer to beat together the butter and the sugar until well incorporated.
Add the egg and beat into the butter and sugar.
Next, add the milk and vanilla extract. Beat to combine.
Sift together the flour, baking powder, and salt.
Add the dry ingredients into the wet mixture and beat well to combine.
When a dough is formed, place the dough into the fridge to cool for 15 minutes.
For the Filling:
While the dough is cooling, whisk together the brown sugar and the cinnamon. Set aside.
Once the dough has cooled, half the dough and roll dough on a lightly floured surface to 1/16th of an inch thick. Try to get the dough into a square shape - it won't be perfect!
Use a pastry brush to brush half of the butter over the surface of the rolled dough.
Sprinkle half of the cinnamon and brown sugar mixture over the buttered dough.
Carefully lift the dough slightly from one end and begin rolling the dough into a long cylinder, working your way down the side of the rolled dough. Try to roll as tightly as possible without breaking or tearing the dough.
Once rolled, use a sharp knife to slice the rolled dough into one inch slices. Place onto the prepared baking sheet, leaving two inches of space between each roll.
Next, whisk together the egg and the water. Use a pastry brush to lightly brush the top and side of each cinnamon roll.
Bake for 10 minutes. Remove from oven and allow to cool on the baking sheet for 2-3 minutes. Transfer to a wire cooling rack to finish cooling.