Heat milk in microwave for 40 seconds or until it's warm to the touch (about 110 degrees).
Pour milk into the bowl of an electric mixer then sprinkle with yeast.
Add sugar, egg, egg yolk and melted butter. Whisk until combined.
Stir in flour and salt with a wooden spoon until dough begins to form.
Knead dough by hand on a floured surface for 10 minutes or use an electric mixer with a dough hook attachment on medium speed for 8 minutes.
If dough sticks to the counter/bottom of the bowl add an additional 1 to 2 Tbsp of bread flour and continue kneading until a soft, slightly sticky ball forms.
Place dough in an oiled bowl, cover with plastic wrap and a dry, warmed towel and let it rise for 1 hour to 1.5 hours until doubled in size.
On a lightly floured surface, roll dough with a rolling pin until it is a 14 x 9 inch rectangle.
Spread softened (not melted) butter over the surface of dough.
Combine brown sugar, cinnamon, black cocoa powder and crushed Oreos in a bowl, stir until combined then sprinkle over buttered dough. Gently press mixture into the butter with your fingertips.
Tightly roll dough into the shape of a log starting with the short side. Trim and discard uneven ends then cut dough into ten 1-inch rolls with a serrated knife or non-minty dental floss. (Fishing line also works great.)
Grease a 10-inch baking pan then line with parchment paper for ease of removal after baking. Arrange Oreo Cinnamon Rolls in the pan, cover with plastic wrap and a dry, warm towel then allow to rise for 30 to 45 minutes.
Preheat oven to 350 degrees.
Remove towel and plastic wrap from baking pan then bake cinnamon rolls for 25 minutes or until the edges are slightly golden brown. Avoid overbaking.
Allow rolls to cool in pan for 5 minutes while you make the cream cheese icing.