1. For dough, combine oil, milk, salt, sugar and yeast in large mixing bowl. Let it stand for 20 minutes, in a warm place. Add flour and mix well.
2. For filling, boil shredded cabbage in salted water for 7 minutes. Drain. In a skillet, fry onions and cumin until golden. Add cabbage and fry 10 more minutes until it turns slightly brown. Taste for salt and pepper. Chill.
3. Preheat oven to 395 degrees F. Line baking sheet with parchment. To assemble rolls, divide dough in 5 equal balls, take 1 and put the other 4 in fridge.
4. Roll the 1 piece out until you get a nice circle (like pizza crust). Divide it in 8 slices (half, half and half). Put a teaspoon or so of filling on the flat edge of a slice and roll it towards the pointy end.
5. Repeat with the rest. Place rolls on prepared baking sheet. Bake for 12 minutes, brush with a little oil and bake for 12 minutes more.