In a mixing bowl, dissolve yeast in 1 cup warm milk. Add sugar; let stand for 5 minutes. Add butter, 1 teaspoon salt and remaining milk; mix well. Stir in enough flour to form a soft dough. Turn onto a floured surface; knead until smooth and elastic, about 6-8 minutes. Place in a greased bowl, turning once to grease top. Cover and let rise in a warm place until doubled, about 1-1/2 hours.
Meanwhile, in a skillet, saute bacon and onion until bacon is crisp; drain. Add pepper and remaining salt. Cool completely. Punch dough down. Turn onto a floured surface; knead bacon mixture into dough. Roll dough into a 14-in. square. Brush with egg; sprinkle with coarse salt. Cut dough in half lengthwise and in thirds crosswise. But each section into six strips. Place 2 in. apart on greased baking sheets. Cover and let rise in a warm place until doubled, about 30 minutes. Bake at 375 degrees F for 15-20 minutes or until golden brown. Remove from pans to wire racks to cool.