Whisk the water, milk, yeast and sugar together in the bowl of a stand mixer or large bowl then let it sit for 10 minutes or until it starts to puff up.
Whisk in the butter and salt then gradually stir in the flour 1/2 cup at a time, stirring the entire time until it comes together but is still slightly tacky when touched. (Do not add too much flour or the dough will turn out hard and heavy.)
Continue kneading for 5 to 8 minutes if using a stand mixer or knead by hand for 8 to 10 minutes or until the dough is very elastic and pulls away from the bowl or countertop.
Cover with a towel and let it proof for 1 hour in a warm place or until it has doubled in size.
In the meantime, dry the smokies very well with a paper towel then poke each one a couple of times with a fork. Let them sit on a plate or baking pan with a paper towel in the fridge to dry out while the bread rises.
Once ready, roll the dough out on a lightly floured countertop into a large rectangle that's about 8 inches long by 6 inches wide and less than 1/2 inch thick.
Use a knife or a pizza cutter to cut 32-34 equal rectangles from the dough them roll each little smokie in a rectangle of dough making sure to pinch the seam together.
Place them on a 12x16-inch baking pan fitted with parchment paper with the seams facing down, cover with a towel and let them rest for another 15 minutes.
In the meantime, preheat the oven to 400 degrees Fahrenheit and whisk the egg and water together in a small bowl.
Brush the egg wash onto the dough then bake for 13 to 15 minutes or until light and golden on top and around the edges.
Let them cool for 5 minutes before serving with freshly minced parsley for garnish if desired.