Prepare a sheet pan with parchment paper.
Once the dough has doubled in size, remove it from the bowl and place onto a floured countertop.
Roll into a 8-inch x 20-inch rectangle. Be sure to lift the edges occasionally as you roll the dough to ensure it’s not sticking to the counter. If it starts to stick, dust a little more flour onto the countertop.
To assemble, place the short edge of the rectangle parallel to the edge of the counter. Remove the filling from the refrigerator and spread two-thirds of it down the center of the dough, leaving a border of 1 inch unfilled around the edges.
Pull the left long edge over the filling and center, folding into thirds.
Spread the remaining third of the filling on top of the first fold. Then pull the right edge over that filling. Pinch the edge to seal it. Carefully and quickly flip the dough booklet over onto the parchment-lined sheet pan, seam side down.
Gently smoosh and rock the dough as needed to ensure the filling is evenly spread throughout. Bring the edges of the log together to form an oval and gently pinch the ends together to seal the ring completely.
Loosely cover the ring with a clean kitchen towel or plastic wrap (do not seal tightly) and return to the warm spot to rise for the second time.
Let the dough rise for 35-40 minutes. The dough should look puffy but not doubled in size. While the dough is rising, preheat your oven to 350°F and place the oven rack in the center position.
Once the dough has risen, use a pastry brush to coat with the beaten egg.
Place it in the oven and bake for 40-45 minutes, turning the pan halfway through baking. The dough should be golden brown and have a sheen to it.
Remove the King Cake from the oven and cool on the pan for 20 minutes. Once cool enough to handle, place onto a wire rack to cool completely, about another 30 minutes.