Fry the bacon cubes in a pan over medium-high heat without adding fat until cooked through. Season with black pepper if desired.
In a food processor, knead all remaining ingredients except the butter for 1 minute until mixed. Add the softened butter and knead for another 6 minutes until a smooth, plastic dough forms. Add the cooked bacon and knead until combined.
Shape the dough into a ball. Cover the bowl with a hot, wet kitchen towel to prevent a crust from forming. Let rise for 1 hour. Divide the dough into 2 even strands and braid them together.
Mix the milk and egg yolks together. Place the braid on a baking sheet lined with baking paper and brush with the egg-milk mixture. Let rise for 30-40 minutes. Meanwhile, preheat the oven to 200 °C / 392 °F with top and bottom heat.
Brush the braid again with the egg mixture. Bake in the lower half of the oven for 40 minutes at 200 °C / 392 °F until the underside sounds hollow when tapped. Transfer to a rack to cool.