In a small bowl mix yeast with the warm water and sugar, set aside and let it bubble (about 10 minutes).
In a mixing bowl, mix melted butter with milk and then add the yeast mixture (make sure that the melted butter is not hot so it does it affect the yeast nor cooks the egg, balance this with cold milk) and mix.
Add the egg, then flour and salt, and knead the dough for about 8-10 minutes on a floured counter. Form a dough ball, place in a greased bowl and cover with a damp cloth, let it rise in a warm place for 45 minutes, or until it doubles in size.
Remove the dough from the bowl and place it on a floured counter. Using a rolling pin, roll into a 35cm x 50cm rectangle (14 inches x 19 inches), spread melted Nutella all over the dough then sprinkle with cinnamon. Carefully roll into a log shape, then using a knife carefully cut into 4cm (1.5-inch) pieces.
Place rolls on a baking tray lined with parchment paper, cover and let them rise in a warm place for 15 minutes.
Bake for 15 minutes at 180°C (356°F) or until the rolls are slightly golden and baked through. Remove from the oven and cool slightly.