Dissolve the yeast + sugar in the cool water.
Separately, beat 1 egg + the oil. Pour the flour + salt in a bowl and make a well. Pour in the yeast mixture and egg mixture. Begin to gradually pour in the flour with a spoon.
Once you get a sludge, add the lard (at room temperature) and begin to knead until you get a sticky dough. Cover with a towel and leave the dough for about 30 min.
Take the white from the 2nd egg, crumble the feta cheese into it and stir. Cut the risen dough into 4 parts. Roll out each part into a rectangle, put some feta cheese mixture at one end.
Wrap up 4 tight rolls and cut each of those into 4 pieces. Place them in an oven dish covered with foil. Leave them to rise again for about 30 min.
Beat the egg yolk with the milk and smear it on the rolls with a brush. Bake the buns in a preheated 428°F (220 °C) oven about 15 min.