Heat the milk and put 1/3 of the fresh yeast cube in it, along with the sugar, and stir. The yeast and sugar need to mix well. Sift the flour through a sieve in a deep container.
Make a well in the flour, break 1 egg in it, add salt, oil, milk with the sugar and yeast. Knead a dough and leave it to rise for 40 min. Leave covered in warm area. Once increased in volume, divide it up into 10 parts. From them, shape equal-sized balls with your hands.
Flour the counter which you'll be using to form the scones. Roll out each ball into an ellipse with a rolling pin, one end needs to be a bit elongated. Beat 1 egg in a bowl, add about 3 oz (90 g) crumbled feta cheese to it. Use a spoon to put a bit of the stuffing in the elongated part of the scone, make 2-3 cuts in the wide part, they need to be pointed toward the elongated part; see photos. Roll up the sheets from the narrow part toward the wide part.
Arrange the scones in a tray with baking paper, with some space in between them because they'll fluff up while rising. Leave for 20 min. Beat 1 egg yolk and 1 tsp oil in a small container, then use a brush to smear the scones with the mixture after they rise. Bake in a preheated 356°F (180 °C) oven to a nice color.