Dissolve the yeast in warm milk, and the baking soda in yoghurt. Knead a soft dough that is rolled out into a sheet, about 1 finger thick. Dab with plenty of melted butter, sprinkle it with feta cheese and roll it up, while slightly twisting the ends.
These coils are cut into pieces, which are placed in a buttered pan. Allow to rise for about half an hour. Smear with the unused yolk and put it to bake at 392°F (200 °C).
Shortly before the pita becomes ready, sprinkle it with grated cheese.