The yoghurt needs to be at room temperature. Dissolve the sugar in 1/2 of it, add the baking soda to the other 1/2, wait a little for it to activate.
In the meantime, sift the flour and make a well in it. Put the yoghurt with sugar and yoghurt with baking soda in it, stir carefully. Add the oil in a thin trickle as well, while stirring nonstop.
Knead a soft, smooth, nonstick dough. Leave it covered with a towel to rest for 10 min. Divide it into 2 balls. Roll out each ball into a sheet about 5/64" (2 mm) thick, cut it into strips about 1 1/2″ (4 cm) wide, then cut into rhombuses.
Cut each Turkish delight piece in 2. Wrap a piece in each rhombus, like a scone, with the ends folded inward.
Arrange in a tray onto baking paper. Bake at 320°F (160 °C) until ready. Roll the warm cigars in powdered sugar, mixed with vanilla.
Arrange in a platter and sprinkle with some more powdered sugar.