In a large bowl, dissolve yeast in 1 cup warm milk. Add sugar; let stand for 5 minutes. Add butter, 1 teaspoon salt and remaining milk. Beat until smooth. Stir in enough flour to form a soft dough.
Turn onto a floured surface; knead until smooth and elastic, about 6-8 minutes. Place in a greased bowl, turning once to grease top. Cover and let rise in a warm place until doubled, about 1-1/2 hours.
Meanwhile, in a large skillet, saute bacon and onion until bacon is crisp; drain. Add pepper and remaining salt. Cool completely. Punch dough down. Turn onto a floured surface; knead bacon mixture into dough.
Roll dough into a 14-in. square. Brush with egg; sprinkle with coarse salt. Cut dough in half lengthwise and in thirds widthwise. Cut each section into six strips. Place 2 in. apart on greased baking sheets. Cover and let rise in a warm place until doubled, about 30 minutes.
Bake at 375° for 15-20 minutes or until golden brown. Remove from pans to wire racks to cool.