Combine peanut butter and caramel sauce. Cover with plastic wrap and refrigerate.
Sprinkle yeast into the warm milk then stir gently. Leave for about 5 minutes until foamy.
In a stand mixer, add flour, sea salt, sugar, pumpkin purée, coconut oil and yeast and milk mixture. Mixing on low-medium speed with the hook attachment until the dough comes together. Turn out onto a floured surface and knead for 3-5 minutes until smooth. Place the dough into a greased bowl and let rise for 60 minutes or until doubled in size.
Remove filling mixture from the fridge. Take 1-2 teaspoons of the mixture and roll into a ball. Place balls on a baking sheet and refrigerate.
Punch the excess air out of the dough, divide into 6 equal pieces. Roll each one into a ball, flatten dough with a rolling pin.
Place it on your hand and top with caramel filling. Pinch the dough around the edges to make pleats. Moving around the edge, gather together the pleats, bringing them together so you end up sealing the bun at the top. Give it a good twist. Pinch to seal.
Take a long piece of cooking string and find the halfway point. Place the half way point on top of the ball and flip the whole thing over. Pull the two pieces of string together and cross them over to create a cross on the bottom of the ball. Flip it over again and do the same thing until the ball is divided into 8 equal pieces. Tie the string at the top and cut off any excess. Cover and let rise until doubled in size, about 45 minutes to 1 hour.
Preheat oven to 180c. Brush the top of the buns with coconut milk. Bake the rolls for 15 minutes, or until golden brown.