Okay, I did a quick internet search and found a mention of the "Egg Shell Rolls" recipe in Bernard Clayton's "The Complete Book of Breads". Which I own, but it has 300 recipes, so I've never tried this one.
The description reads "Egg whites, whipped to a light peak, are used in this dough to produce a thin, crisp, paper-shell crust which will keep the rolls fresh and delicious for a long period of time."
If you want to give the recipe a try, P.M. me and I can copy it out and send to you. There's no mention of steam in the recipe - apparently for this one the secret to the crust is in the egg whites.