Make the dough: In the bowl of a stand mixer fitted with the paddle attachment, mix flour, sugar, and kosher salt at low speed until combined.
In a small bowl, stir together warm milk, honey, and yeast. Let stand until foamy, 5 to 10 minutes.
Add warm milk mixture, melted butter, egg, and egg yolk to flour mixture. Beat at low speed until a shaggy dough forms, 1 to 2 minutes. Switch to the dough hook attachment, and knead at medium speed until a smooth, elastic dough forms, 12 to 14 minutes.
Spray a large bowl with cooking spray. Place dough in bowl, turning to grease top. Cover and let rise in a warm, draft-free place (75°F/24°C) until doubled in size, 45 minutes to 1 hour.
Line 2 baking sheets with parchment paper.
Cut cheese into sticks (about 2 x ⅛ inches each). Cut ham slices in half widthwise.
Punch down dough. On a lightly floured surface, divide dough in half (about 510g each). Roll half of dough into a 14-inch circle. (Keep remaining dough covered with plastic wrap to prevent it from drying out.) Cut dough into 12 equal triangles; a pizza cutter or pastry wheel works great for this.
Add filling: Spread 1 teaspoon (5g) mustard in center of each triangle; place 1 piece of cheese and 1 piece of ham at center of base, folding ham to fit it to base of triangle.
Starting from base, roll up dough around ham and cheese. Place rolls, pointed side down, at least 1½ inches apart on prepared pans. Repeat with remaining dough, remaining mustard, remaining cheese, and remaining ham. Cover and let rise in a warm, draft-free place (75°F/24°C) until puffed, about 45 minutes.
Preheat oven to 375°F (190°C).
Make egg wash: In a small bowl, whisk together water and egg. Lightly brush rolls with egg wash. Garnish with sea salt and pepper, if desired.
Bake until golden brown, about 10 minutes. Best served warm. Refrigerate in an airtight container for up to 3 days.