Pour the warm milk into a large mixing bowl. Stir in the yeast and 1 teaspoon of the sugar. Let stand until foamy, 5 to 10 minutes. If the mixture does not foam, start over with fresh yeast and milk that is not too hot.

Add the remaining sugar, flour, salt, egg, and 2 tablespoons of the melted butter to the yeast mixture. Stir until a shaggy dough forms, then knead on a lightly floured surface for 6 to 8 minutes, until smooth and elastic. The dough should feel soft and only slightly tacky.

Place the dough in a lightly greased bowl, cover, and let rise in a warm spot until doubled in size, about 45 to 60 minutes.

Meanwhile, lightly grease eight oven-safe metal cannoli or cream-horn molds, each about 5 inches long and 1 inch wide. Line a rimmed baking sheet with parchment paper. In a shallow dish, combine the 1/2 cup sugar and cinnamon.

Heat the oven to 375°F (190°C). Gently punch down the risen dough and divide it into 8 equal pieces. On a lightly floured surface, roll each piece into a rope about 18 to 20 inches (46 to 51 cm) long.

Wrap one dough rope around each prepared mold, overlapping the dough slightly as you go. Pinch the ends neatly to secure them. Arrange the filled molds seam-side down on the prepared baking sheet. Let rest for 10 minutes.

Brush the dough all over with 1 tablespoon of the remaining melted butter. Roll each mold gently in the cinnamon sugar, pressing lightly so the coating adheres. Return the molds to the baking sheet.

Bake until deep golden brown, 12 to 15 minutes, carefully turning the molds once halfway through baking for even color. The sugar should look caramelized and the dough should be cooked through.

Let the chimney cakes cool on the molds for 2 to 3 minutes. Hold each mold with a clean kitchen towel or tongs and gently twist the pastry free. Brush the warm cakes with the remaining 1 tablespoon melted butter and roll in any remaining cinnamon sugar. Serve warm.