Into a bowl, combine yeast, flour, salt and 40g of caster sugar. Stir the mixture until blended together. Pour in egg and lukewarm milk to form a dough-like consistency. Knead vigorously until it is pliable yet not overly wet or sticky. Cover with cling film and let it rest in a warm environment for 1 hour or until it has doubled in size.
Preheat the oven to 200 degrees Celsius (392 Fahrenheit). Get 2 baking trays lined with parchment paper ready.
Once the dough is double its original size, knead it for 10 minutes on a floured work surface until soft and elastic. Cut it into 12 pieces of equal sizes.
Take each piece of dough and flatten it with your hands. With either scissors or a pizza cutter, cut into the dough before spreading it flat on the baking tray. Brush melted butter over it and sprinkle caster sugar over top of the dough piece. Press some walnut sugar mix into its center before rolling it up like a snail shell.
Place all chimney cakes on the baking trays and bake for 15-20 minutes or until it turns golden brown. Let them cool slightly before serving with extra caster sugar sprinkled over top and ground cinnamon.