In a mixing bowl, combine warm water, warm milk, yeast, and sugar. Let sit for 5–10 minutes until foamy.
Add salt, oil, and flour gradually. Mix until a soft dough forms. Knead for 8–10 minutes until smooth.
Cover and let the dough rise in a warm place for 1 hour or until doubled in size.
Divide dough into equal portions. Flatten each piece, place some mozzarella cheese in the center, and seal to form a ball.
Place the filled dough pieces on a parchment-lined baking tray. Let rise again for 15–20 minutes.
Preheat oven to 180°C (350°F). Brush the tops with milk or egg wash (optional) and sprinkle with sesame seeds.
Bake for 20–25 minutes or until golden brown. Let cool slightly before serving.