For the dough: Whisk together the water, sugar and yeast in a large bowl. Let sit for 5 minutes. Sift together 4 cups of the flour and the sea salt in another large bowl. Set aside. Heat a saucepan over medium heat. Add the milk, butter and yolks and whisk until the butter has melted, about 5 minutes. Pour this mixture into the yeast mixture.
Make a well in the center of the flour and add the liquid. Mix the flour with the liquid using your hands until a sticky ball forms. Add more flour if needed. Knead the dough until elastic on a lightly-floured surface, 10 minutes. Coat a large bowl with the canola oil and place the dough inside and cover in plastic wrap.
Let the dough rise until doubled in size, about 1 hour 30 minutes. Punch down the dough and divide into about 28 golf-ball-size balls. Cover with plastic wrap and let rise again until doubled in size, about 1 hour longer.
Preheat the oven to 375 degrees F. Line a baking sheet with parchment paper.
For the filling: Mix together the bacon, onions and thyme in a small bowl. Take a dough ball and gently stretch out into a 3-inch-diameter flat disk. Place 1 teaspoon of the filling in the center and pinch to seal. Turn over seam-side down and gently form into an oval. Place on a baking sheet lined with parchment paper. Repeat with the remaining dough balls.
Mix together a splash of water and the egg yolk in a small bowl. Brush each roll using a pastry brush.
Bake in the center of the oven until the rolls are firm to the touch and golden, 10 to 15 minutes. Let cool slightly. Serve warm.