Preheat oven to 350°F and line a baking sheet with parchment paper.
Bloom the saffron: Warm the cream slightly, stir in saffron threads, and let sit 5–10 minutes.
Mix dry ingredients: In a bowl, combine almond flour, coconut flour, baking powder, xanthan gum, sweetener, and salt.
Add wet ingredients: Whisk in melted butter, cream cheese, eggs, vanilla, and the saffron cream until a soft dough forms.
Shape buns: Divide into 10 pieces; roll each into a rope and curl into a “ S ” shape or round spiral.
Brush and bake: Place on the tray, brush with egg yolk, and bake 15–18 minutes until golden.
Cool and serve: Let cool on a rack and serve warm with butter or sugar-free jam.