In a small bowl or measuring cup add yeast to water and milk. Let sit for about 5 minutes until frothy.
In a large mixing bowl combine yeast/milk mixture with butter, egg, and sugar. Gradually add in flour and salt. Beginning kneading with a dough hook. After a few minutes if the dough looks too wet add extra flour 1 tablespoon at a time until you have a nice smooth dough. The dough should slap sides of the bowl and stick to the bottom. Add water a tablespoon at a time if the dough feels too dry. Knead for a total of 6-7 minutes. Place in a greased bowl. Let rise for about 1 hour or until doubled.
Press dough down. On a floured surface roll dough into a 20 x 12-inch rectangle.
Pour melted butter evenly over dough. Sprinkle with brown sugar and cinnamon. Arrange apple pieces over surface. Press dough gently but firmly with rolling pin or palm of your hand.
Cut into 5 (4-inch strips), then cut crosswise 6 times, making 30 (4x2-inch) rectangles.
Make 5 stacks of dough with 6 rectangles in each stack. Layer stacks in a loaf pan with sugared sides facing each other. For the end pieces make sure sugared sides are facing in and not outside of the pan.
Preheat oven to 350 degrees.
Let rest for 20-30 minutes before baking (will rise much higher in the oven) or bake immediately. (I've done both.)
Bake 30 - 35 minutes or until puffed and golden brown. Cool for 10 minutes. Remove from pan to cooling rack. Cool for about 1 hour.