1. Combine all dough ingredients in a large mixer bowl, mix well. Cover bowl and let rise for one hour.
2. In a separate bowl, combine cocoa, sugars, and pudding mix for filling; mix well.
3. Divide dough into eight equal parts. Working with one piece at a time, roll out dough into a rectangle. Smear with a thin layer of oil and sprinkle with filling. Roll up dough jellyroll style.
4. Twist two rolls together, pinching ends; place in large, greased loaf pan. Cover and let rise 45 minutes.
5. Brush with beaten egg. Bake for 40–45 minutes in oven preheated to 350 degrees Fahrenheit.