In a large bowl, whisk together flour, potato flour, sugar, yeast and salt. Add the butter, vanilla, egg and milk. Mix together until a shaggy dough forms. Cover with plastic wrap and let rest for 30 minutes.
Knead dough for 10 minutes. Dough will be sticky and soft. Spray a large bowl lightly with nonstick cooking spray. Place the dough in the bowl, turning to coat all sides. Cover again with plastic wrap and let dough rise until doubled in size, 1 1/2 to 2 hours.
In a small bowl, whisk together sugar, cocoa powder, cinnamon and cayenne. Set aside.
Preheat oven to 350°F. Lightly spray two 9x4-inch loaf pans with nonstick baking spray. Set aside.
On a lightly floured surface, roll the risen dough to a 10x18-inch rectangle. Spread Nutella over dough, leaving a 1-inch border. Sprinkle half the sugar cocoa mixture over the Nutella.
Starting with a long side, tightly roll dough to form an 18-inch log. Pinch and seal edge and place roll seam side down. Using a large, sharp knife trim the ends to even. Cut the log in half lengthwise then cut each log in half again lengthwise so that you have 4 logs. Twist 2 logs together to form one twisted loaf. Pinch and seal together each end of the log and fit it into prepared loaf pan. Repeat with remaining two logs.
Place in middle of preheated oven and bake 15 minutes. Working quickly, briefly remove loaves from oven. Brush tops with melted butter and sprinkle with remaining sugar cocoa mixture then return to oven. Continue baking 15-20 minutes more.
Cool on wire rack and serve warm or at room temperature.