Add the milk, butter, corn starch, vanilla extract, and salt to a pot, mix well, and let simmer over medium heat. Remove the pot from the stove and let cool for about 30 minutes.
Mix the flour, milk mixture, sugar, and yeast into a smooth dough.
Cut the dough in half and set one half aside. Divide the second half once more. Add 1 tsp of cocoa powder and 1 tbsp of milk to one dough quarter and 1 tbsp of cocoa powder and 1 tbsp of milk to the other dough quarter. Cover the dough balls and leave at room temperature for 90 minutes.
Roll each of the 3 dough balls into 7 smaller, equally-sized balls for 21 balls in total. Roll the 7 light brown balls into equally-sized logs. Do the same with the dark brown dough and then roll the dark brown dough flat with a rolling pin.
Wrap the light brown logs in the dark dough. Don't worry – it doesn't have to be perfect! Wrap the brown rolls in the white dough and seal the ends.
Place all of the logs in a greased loaf pan. Cover the pan and let the dough rise until it has doubled in size. Brush the bread with milk and bake for 35-40 minutes in a preheated oven set to 350°F. Let the bread cool in the pan before removing it.