Combine salt, milk powder and water together. Sift flour into a mixing bowl. Make a well in the centre, then pour in combined salted water. Add the egg and margarine. Mix well and lightly combine the ingredients together to form a dough. Leave aside for 30 minutes.
For the oil dough, sift flour into a mixing bowl. Add shortening to mix until a dough is formed.
Divide both the water and oil dough into an equal number of pieces. Take a piece of oil dough and put it inside the water dough. Wrap up to seal. Use a rolling pin to roll dough flat.
Roll up swiss roll-style. Roll out flat again. Roll up swiss roll-style again. Cut into halves. Put one half aside. Take the other half and roll out flat into an oblong shape.
Put a tablespoon of kaya onto the rolled out pastry. Fold it into half. Pleat the edges neatly. Place on greased trays. Brush with egg glaze on the surface. Bake in preheated oven at 190 ºC for 15 to 20 minutes or until golden brown in colour.