Whisk buttermilk with sugar in a mixing bowl and sprinkle yeast on top.Combine the melted butter, egg, egg yolk and salt then whisk into the yeast mixture.
Add about 1/2 cup of flour. Mix until mostly combined then repeat until all the flour is gone.Knead dough for an additional 5 minutes. Cover and allow to rise until doubled in size.
Roll dough into a rectangle then spread the Cinnamon Oreo filling across the dough. Roll into a log then slice and place in a pan. Cover and allow to rise until doubled in size.