In a mixing bowl, combine the yeast, olive oil, water, sugar and milk.
Add flour and a pinch of salt, and stir to combine. Once a dough begins to form, continue to mix by hand. Cover and leave the dough to rest for 30 minutes.
Preheat oven to 350 degrees.
In a bowl, combine the mozzarella cheese, cream cheese, cherry tomatoes and basil. Season with salt and pepper.
Lay out dough on a floured surface, and divide into 8 small portions. Flatten each portion slightly and fill with the cheese and tomato mixture. Close the dough around the filling, forming a ball, and place on a baking pan. Brush rolls with egg and sprinkle with oregano.
Bake for approximately 30 minutes, or until the rolls are golden brown.