In a small bowl, dissolve the yeast with a little lukewarm milk and a teaspoon of sugar. Let it sit for about 5-10 minutes until foamy.
In a large bowl, combine the flour, salt, sugar, and vanilla sugar. Add the egg, melted butter, and the proofed yeast mixture.
Gradually add the remaining lukewarm milk and start kneading. When the dough is elastic and smooth, cover it with a kitchen towel and let it rise for 45 minutes.
Roll out the risen dough to about 1/4 inch (0.5 cm) thickness, cut it into long strips, and wrap them around a chimney cake baking pin (or a paper towel roll covered in aluminum foil).
Brush the wrapped dough lightly with melted butter, then roll it in a mixture of cinnamon sugar and ground walnuts.
Bake in a preheated oven at 400°F (200°C) without convection for about 12-15 minutes, rotating frequently to ensure even browning.
Once the chimney cake is baked, let it cool slightly, then cut it into small pieces to use in the salad.
Place the fresh salad leaves in a large bowl, and add the diced tomatoes, cucumber, and feta cheese.
Add the cooled chimney cake pieces to the salad, then drizzle with olive oil and balsamic vinegar.
Toss gently to combine, and serve immediately to enjoy the perfect harmony of the salad's crispness and the chimney cake's delightful texture.
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