Place the flour, salt, sugar, powdered milk and vegetable oil in a bowl, gradually add the water until you have a soft, slightly sticky dough. Turn out onto a worksurface and knead for about 10 minutes.
Divide the dough into 8 even pieces and shape into balls, place on a greased tray and cover with oiled clingfilm, leave to rest for at least a couple of hours and up to overnight.
Once the dough has rested make the filling, simply mix together the grated cheese, beaten egg and chopped parsley in a bowl with some freshly ground black pepper. Preheat the oven to 200C/400F/gas mark 6.
Grease a worksurface and your hands well with olive oil or ghee; take one ball of dough and use your hands to gently spread it out on the oiled surface into a large, thin circle. You should be able to spread it out to about 25cm (10in) wide and it should be thin enough to see through.
Fold one side of the circle over the middle, then the other, so that the dough is almost folded into thirds.
Spread some of the filling along one edge of the dough, fold the closest side over the top of the filling then roll it up into a tight sausage; coil the sausage up in a spiral shape, place the bun on a baking tray.
Re-grease the worksurface and your hands and repeat with the remaining balls of dough.
Bake for about 20 minutes until golden brown. Serve warm.