Its Hungarian name means 'stovepipe cake' — 'kürtő' is an old word for a chimney flue — and the hollow cylinder lets out a puff of steam when you tear it open.
A cylinder of sweet yeast dough is wound around a wooden spit, brushed with sugar, and rotated over hot coals until the outside caramelizes into a crackling shell. Vendors sell it warm off the spit at fairs and Christmas markets, rolled in walnuts, cinnamon, or cocoa.