Sift flour and salt. Add vanilla and yeast which has been dissolve in canned milk. Cut in shortening. Add 1 egg at a time and beat well after each addition. Mix all ingredients well. Place dough in refrigerator overnight.
Next day, roll dough 1/4 inch thick. Combine filling ingredients; add enough milk to make filling of right consistency. Spread filling and roll like jelly roll. Brush top with egg yolk to which a little milk has been added.
Bake 30-35 minutes, at 350 degrees F or until brown.