Warm the milk in the microwave in 15-second intervals until it reaches 105-110 degrees F.
Place the sliced butter into the body of a stand mixer and pour ½ cup of the milk on top, set aside.
Place the remaining ⅓ cup milk into a small bowl and stir in the yeast, let it sit for 5-10 minutes until foamy and the yeast activates.
Add the yeast mixture to the stand mixer along with the egg. Attach with hook attachment and mix to combine.
Add the flour, sugar, salt, cinnamon, and nutmeg to the bowl, mix to combine until it starts to form a dough.
On low, knead the dough for 10 minutes. When done kneading the dough will be smooth but slightly tacky still.
Spray a large bowl with non-stick cooking spray and place the kneaded dough into the bowl, spray the top with more non-stick cooking spray and cover with plastic wrap and place in a warm place to double in size, which will take about 1 - 1.5 hours.
When the dough is almost ready, make the filling. In a medium bowl stir together the brown sugar, flour, cinnamon, salt, and nutmeg. Pour in the melted butter and stir to combine. Set aside.
Punch down the dough to release the air bubbles.
On a floured surface add your dough and roll out the dough into a rough 24x10-inch rectangle.
Sprinkle the filling all over the dough, leaving a ½-inch border along the edges. Place the plastic baby, if using, in a random place on top of the filling.
With the long side of the dough facing you, tightly roll the dough to form a log and pinch the seams together (like you would making cinnamon rolls).
Line a large baking sheet with parchment paper. Place the dough onto the baking sheet, shape into a circle and pinch the ends together well to seal.
Cover with plastic wrap and rise again until about doubled, roughly about another 1 - 1.5 hours.
Preheat the oven to 350 degrees F.
Take the plastic wrap off the cake and using a kitchen scissors or knife, slice about ⅓ of the way through the dough to expose the layers, do this in 8 spots, equally spaced. Do not cut the dough all the way through.
Bake for 30-35 minutes until golden brown, tent with foil after 15 minutes to prevent overbrowning.
Remove from the oven and let cool for 10 minutes on the baking sheet before transferring to a wire rack to cool completely.
Once the cake is cool, make the icing by whisking together the powdered sugar, 2 Tablespoons of milk, and vanilla in a small bowl until smooth. The glaze should be thick but pourable, if it is too thick, add up to another Tablespoon of milk.
Place the wire rack over a baking sheet or parchment paper to catch any drips, and pour the glaze evenly over the cake. Immediately add the sanding sugar colors in any pattern you wish.
Let sit for at least 30 minutes before slicing and serving.