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Combine the yeast, sugar, melted butter, egg, and milk in the bowl of an electric mixer fitted with a dough hook. Beat on low speed for 1 minute.
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Add the salt, rye flour and all-purpose flour. Beat at low speed until all of the flour is incorporated, about 1 minute.
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Then, beat at medium speed until the mixture forms a ball, leaves the sides of the bowl and climbs up the dough hook.
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Remove the dough from the bowl.
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Using your hands, knead for a couple of more minutes.
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Roll into a large ball.
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Roll the dough in the oil and turn it to oil all sides.
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Place into a lightly bowl.
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Cover with plastic wrap and set aside in a warm, draft-free place until it doubles in size, about 1 hour.
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Take the dough out of the bowl, knead it again for 5 – 10 minutes and place back in the bowl and cover for another hour.
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Preheat the oven to 350 degrees F and spray a baking sheet.
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Cook for 45 - 50 minutes.
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Serve and enjoy!