Preheat the oven to 428º F (220° C). Line a large rectangular baking sheet or a cast iron skillet with some parchment paper.
In a large bowl add the flour, baking powder, sugar, salt, cayenne and mix very well with a spoon.
Add the cold butter and integrate it with the fingertips or a fork until a sandy dough is formed. This should be done quickly so that the butter keeps its cold temperature (this step can also be done in a food processor).
Reserve approximately 30 grams of cheese, add the rest and mix so that it integrates with the rest of the ingredients.
Mix in the milk with the yogurt in a bowl, add it little by little to the bowl of flour (it is important not to add the liquid all at once as sometimes not all of it is needed) and mix with the same spoon or with your hands until you get a sticky dough, without kneading it.
Place the dough on a clean, floured kitchen counter and roll it out with a rolling pin to form a rectangle 2-3 cm thick.
With a circular cutter cut portions of approximately 6-7 cm wide and place them on the baking sheet or in the cast iron pan. The remaining dough is put back together to make more scones, trying not to over-knead it.
Brush the scones with the beaten egg, sprinkle the remaining cheese on top and bake at 428º F (220° C) for 15-20 minutes or until lightly browned. Remove from the oven and serve hot with more butter or as preferred.