Chocolate-Nut Rugelach

Pulse cocoa, brown sugar, kosher salt, baking powder, and 2 1/2 cups flour in a food processor to combine. Add butter and pulse until largest pieces are pea-size.
Beat egg yolks, sour cream, and vanilla extract in a small bowl until smooth. With the motor running, stream sour cream mixture into food processor and process until dough forms a ball around the blade. Turn out dough onto a surface and knead several times until it is smooth and homogenous. Divide in half and form into 3/4"-thick disks. Wrap in plastic and chill until firm, about 2 hours.
Place racks in upper and lower thirds of oven and preheat to 350°F. Let 1 disk of dough sit at room temperature until slightly softened, about 5 minutes.
Roll out dough on a lightly floured sheet of parchment paper, shifting often on sheet and dusting with more flour as needed to keep from sticking, to a 12" square. Using a small offset spatula, spread half of Nutella over dough in a thin layer. Sprinkle half of nuts, 1 Tbsp. demerara sugar, and 1/2 tsp. sea salt over Nutella. Roll up dough to make a log, using parchment paper to help. Repeat with remaining dough, Nutella, nuts, 1 Tbsp. demerara sugar, and 1/2 tsp. sea salt.
Slice logs 1" thick and transfer to parchment-lined baking sheets, spacing 1 1/2" apart. Brush tops with egg and sprinkle lightly with more sea salt. Bake rugelach until centers are set and tops are firm to the touch, 25–30 minutes; let cool.
Dough can be made 1 month ahead. Freeze.