To prepare the light rye dough, heat water to 115°F, dissolve yeast and sugar in water. Allow to proof for 5 minutes. Meanwhile, combine bread flour, rye flour and salt in a large bowl or stand mixer. Mix in yeast mixture, along with molasses and vegetable oil. Continue mixing, increasing speed, until dough comes together. Knead by hand if necessary to form a smooth ball. Transfer to a lightly greased bowl. Cover and allow to rise until doubled in size or roughly 90 minutes.
Repeat step 1 to create the dark rye dough. Add sifted cocoa powder in with flours and salt, continue mixing as described above. Cover and rise 90 minutes.
Roll each dough into an 8x20-inch rectangle. Layer one ontop of the other and tightly roll, pinching the ends and seams together. Using a sharp knife, carefully slice through the dough, end to end. Twist the two sections together. Transfer to a lightly creased 9x5-inch loaf pan. Lightly cover with a clean towel and allow to rise for 1-2 hours or doubled in size.
Preheat oven to 350°F.
Mix together egg and water. Brush over top of loaf.
Bake for 40 minutes or until center reaches 190°F.
Cool in pan until easy to handle. Then transfer to a wire rack to cool completely.