In a small bowl, crumble the yeast and mix with a little lukewarm milk and 1 teaspoon of sugar. Let it proof for about 5-10 minutes, or until foamy.
In a large bowl, combine the flour, sugar, salt, and cinnamon. Add the egg, melted butter, and the proofed yeast mixture.
Gradually add the remaining lukewarm milk and start kneading the dough. Once the dough is elastic and smooth, cover it with a kitchen towel and let it rise for 45 minutes, or until doubled in size.
After rising, punch down the dough and roll it out to about 1/4 inch (0.5 cm) thickness. Cut the dough into long strips, then wrap them around a chimney cake baking cone (or a paper towel roll covered with aluminum foil).
Lightly brush the wrapped dough with melted butter, then roll it in cinnamon sugar until evenly coated.
Preheat your oven to 390°F (200°C). Bake the chimney cakes for about 12-15 minutes, turning them occasionally, until golden brown.
As soon as you remove the chimney cakes from the oven, immediately brush them with mulled wine to infuse them with flavor and aroma.
Dust with powdered sugar and serve warm, allowing the mulled wine flavor to fully shine.
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