In the bowl of a stand mixer fitted with the dough hook attachment, combine flour, sugar, yeast, and salt. Add eggs and egg yolks. With mixer on low speed, gradually add warm milk, beating until dough comes together. Increase mixer speed to medium-high, and beat for 6 to 8 minutes. Turn mixer on to medium-high speed, add butter in several additions, letting each piece fully incorporate before adding the next. Beat dough until a smooth and elastic dough forms, 3-5 minutes.
Oil a large bowl with cooking spray. Place dough in bowl, turning to grease the top. Cover surface of dough with plastic wrap and let rise until doubled in size, 1½ to 2 hours.
Spray a 9x5-inch loaf pan with cooking spray. On a well-floured surface, roll dough into 16x12-inch rectangle. Smear pesto evenly over dough and then sprinkle bacon, cheese and pickles over pesto. Starting with one short side, roll up dough and pinch seam to seal. Cut roll in half lengthwise with a sharp knife. Gently twist dough pieces tightly around each other, pinching ends to seal. Place in prepared loaf pan, cut sides up. Tuck ends and sides tightly into pan. Cover and let rise in a warm, draft-free place until doubled in size, 30 minutes to 1 hour.
Preheat oven to 350°F. Bake for 20 minutes. Remove and cover loaf with foil (to stop burning), and bake until an instant-read thermometer inserted in center registers 190°F. This takes about 40 to 45 minutes more. Let cool in pan for 10-15 minutes. Remove from pan, and let cool completely on a wire rack.