Preheat the oven to 350°F / 180°C and grease a baking sheet with a little olive oil.
Mash 225g of crumbled feta, 60g of shredded mozzarella, 1 egg, ½ cup of chopped flat-leaf parsley, and 1 tablespoon of whole milk into a smooth paste. Season with pepper, and salt only if needed.
Cut 260g of filo pastry into strips 4-5in / 10-13cm wide. Put a spoonful of filling at one end, fold in the sides and roll up tightly like a cigar, sealing the end with a little water.
Arrange on the baking sheet. Beat 1 egg for brushing with 1 tablespoon of olive oil and brush over the rolls. Bake for 25-30 minutes, until golden.
