Stir together the lukewarm milk and water, then add in the dry yeast and sugar. Stir everything together until combined, then let the mixture sit for 10 minutes in a warm spot. Once it has rested, knead together the flour, egg, butter, salt, and yeast mixture until a smooth dough forms. Cover the dough and let it rise in a warm spot for 30 minutes, or for a fluffier texture, transfer the dough to the refrigerator and let it rise overnight. Once the dough has risen, knead it again briefly, then roll it out.
Place the cored apples in a pot on the stove, add in the water, then cover the pot. Let the apples cook on medium heat for about 30 minutes until they have cooked down, then mash them with a potato masher. Mix in the pre-made rice pudding, stir everything together, then let the mixture sit for 10 minutes.
Preheat the oven to 325°F, grease a bundt cake pan, and mix together the cinnamon and sugar. Use a glass to cut 16 circles out of the dough, then spoon a portion of apple rice pudding in the center of each one. Roll each portion of dough into a ball, sealing the filling in the center, then coat each ball with cinnamon sugar.
Place the coated balls of dough in the greased bundt cake pan, then place the filled bundt cake pan on the middle rack in the oven.
String the 5 sausages on a large wooden skewer and hang the wooden skewer on the highest track in the oven so that the sausages all hang directly over the bundt cake pan. Bake everything at 325°F for 25 minutes. Once everything has baked, remove it from the oven and let it cool for about 30 minutes.
Flip the bundt cake pan over onto a serving platter, then grate the cooked sausage over the top of the monkey bread. Place a small bowl of vanilla yogurt in the center of the monkey bread for dipping, and dig in!