Mix together the yeast, warm water, milk (heated in the microwave for about 1 minute), and sugar in a large bowl. Let sit for 10 minutes to allow the yeast to grow/proof.
Add the oil, salt, egg, and 2 cups of flour and mix to incorporate. Keep adding the flour 1/2 cup at a time until the dough pulls away from the bowl and is no longer sticky while mixing.
Remove the dough from the bowl onto a clean surface. Roll the dough into a large rectangle, about 1/2 inch thick. Cut the dough into 28 equal squares.
Place the butter in a microwave safe bowl and heat in the microwave until melted, about 1 minute. In a separate bowl, mix together the cinnamon and sugar.
Roll each marshmallow into the melted butter and then into the cinnamon and sugar and place onto a dough square. Wrap the dough around the marshmallow, pinching the ends together to seal the dough. Roll the dough ball into the cinnamon and sugar mixture and place on a greased cookie sheet, seal down, about 1/2 inch apart.
Cover the pan with a clean dish towel or saran wrap and place in a warm spot to rise for 1 hour.
Bake at 350 degrees F for 15-20 minutes or until golden brown. Enjoy warm!