Place one fillo sheet on a clean surface then gently pinch the middle of the sheet and turn it clockwise. Combine the ¼ cup oil and milk in a small bowl. Brush the fillo with oil and milk mixture.
Put 1 tablespoon each peanut butter and jelly in the middle of the twisted fillo sheet. Sprinkle with ½ tablespoon of chopped peanuts. Twist some more if necessary and then fold the edges over to enclose the filling.
Gently turn it over and place on a greased baking sheet. Repeat with remaining sheets.
Next, mix the egg yolk with oil and water. Brush the tops of twisted fillo and sprinkle with remaining peanuts. Bake at 350 degrees Fahrenheit in a preheated oven for 15-20 minutes or until golden brown and crisp.
Use melted butter instead of oil.
Replace peanut butter with almond or cashew butter.
Double the recipe for a dozen yummy fillonuts.
Sprinkle fillonuts with poppy seeds, sesame seeds, or ground peanuts before baking.
Dust the baked fillonuts with powdered sugar or drizzle with chocolate syrup.