Combine flour, yeast, sugar and sea salt flakes in a large bowl. Add milk and 1/2 cup warm water and stir until combined and a dough forms. Turn onto a lightly floured surface and knead for 10 minutes or until smooth. Place into a lightly oiled bowl, cover and place in a warm place for 45 minutes or until doubled in size.
Preheat oven to 200°C. Grease a 20x10cm (7cm deep) loaf pan. Mash feta and 1/3 cup of the extra milk together in a bowl until smooth. Add mozzarella, thyme and lemon rind.
Punch down dough and turn onto a lightly floured surface. Divide in half. Roll out each portion until 1cm thick. Using a 6cm round cutter, cut 10 rounds from each portion.
Spread feta mixture onto half of the dough rounds and sandwich together with plain rounds. Stand ‘sandwiches’ up in the prepared pan. Stand in a warm place for 30 minutes or until risen. Brush top with remaining milk and bake for 30 minutes or until golden and cooked through. Serve.