Preheat oven to 200 degrees C. Line a baking tray with baking paper.
Beat the egg white with milk, vanilla and oil.
Mix the flour, baking powder, salt, sugar, zest and cheese. Add to the egg mixture and mix to a smooth dough, first with a wooden spoon then kneading with your hands.
Sprinkle a work surface with flour. Divide the dough into 6. Divide each of the six pieces into three and roll them into long thin sausages. Weave a braid with the three sausages, then close the ends to make a circular wreath. Repeat with remaining dough to make six wreaths. Place on baking tray, well spaced.
Beat the egg yolk with 1 tablespoon lukewarm water and brush over the wreaths. Bake 20 minutes or until golden. Let cool on a wire rack.