Trim the crust from the bread. Flatten the slices slightly with a rolling pin. In the center of each bread slice, add about 1 teaspoon of the filling of your choice.
Roll the bread and the mixture like a cigar or a rolled taco; set aside until you finish all of the slices.
In a bowl mix the egg and the cup of milk, whisk until well combined. In another bowl, mix the sugar with the cinnamon.
Set a skillet over medium heat. Add a tablespoon of butter.
Soak the bread rolls in the milk mixture until fully coated. Add them to the hot pan, cook the rolls until they're golden brown.
Roll the fingers in the sugar and cinnamon mixture and serve.