Make the custard: In a medium bowl, whisk together the milk, heavy cream, egg, and vanilla. Set aside.

Prepare the bread slices: Cut the crust from the bread. Flatten the bread slices with a rolling pin, making them as flat as possible.

Roll them up: Spread Nutella on each bread slice and roll up the bread, lightly pinching the seam to secure.

Cook: Place 2 tablespoons of butter in a frying pan and melt over medium heat. Dip the roll-ups in the egg mixture, and place them in the frying pan. Cook until golden brown, about two minutes; flip to the other side and cook for another minute or so. You will most likely have to do this in batches. Add the remaining butter, and continue to cook until all roll-ups are done.

Roll in sugar: If you have vanilla sugar, put it in a shallow dish, and once the roll-ups are done cooking, roll them in the sugar until covered. If you do not have vanilla sugar, dust the roll-ups with powdered sugar instead. Serve immediately.