In a liquid (glass) measuring cup, add milk and warm it in the microwave for about 10-15 seconds, enough to warm it, then lightly whisk the yeast and sugar with the milk, cover with a towel and allow to rest until foamy on top, about 5-10 minutes.
In a large mixing bowl, mix together flour, powdered sugar and salt. Add the cut butter and using your hands, mix with flour until you have a crumbly texture. Add egg, sour cream and yeast mixture. Bring the dough together and when all the ingredients start coming together in a ball. Transfer to the counter and knead the dough until it becomes soft and smooth, about 5-7 minutes. Transfer to a large clean bowl, cover with towel and place in a warm area. Allow to rise for about 40 minutes.
Meanwhile, grind the walnuts and mix together with the fig jam. Set aside. Line baking pans with parchment paper.
Divide the dough in 3 equal sections. Roll out one section of dough to a large circle, roughly 10-12 inches across. Using a rotary cutter or sharp knife, cut the circle into 8 equal sections. Add a tablespoon to each section at the top of the triangle (widest part), roll the kifli (cookie) toward the center of the circle. Place on prepared baking pan and cover with towel for 15 minutes.
Preheat oven to 350℉ or 178℃.
Bake kifli's for 22-25 minutes and at the last 5 minutes, brush with milk and sugar mixture. Once they are firm and lightly golden in colour, they are baked. Allow to cool and when they are slightly warm, sprinkle powdered sugar and enjoy!!