In a small microwave-safe bowl, heat milk 20 seconds or until it reaches 110°F. Stir in sugar and yeast and allow to stand until yeast is bubbling and foamy, about 10 minutes.
To the work bowl of a stand mixer fitted with a dough hook, or a large bowl using a wooden spoon, add yeast mixture, egg yolk, and 2 tablespoons butter. Mix on medium speed until well combined, about 1 minute, then add salt and our and mix on low speed for 1 minute. Increase speed to medium and knead 4 minutes or until dough is smooth. If mixing by hand, use the spoon to stir in the four until it forms a shaggy ball, then knead in the bowl by hand until dough is smooth, about 10 minutes.
Form dough into a smooth ball, then cover bowl with a damp towel and let rise in a draft-free spot 1 hour or until doubled in bulk
Preheat oven to 450°F and line a 1⁄4 sheet pan with parchment. Spray parchment with nonstick cooking spray.
In a medium pot, add water and baking soda. Bring to a boil over high heat, about 10 minutes.