Step 1

Preheat oven to 350 degrees F (175 degrees C). Grease 2 baking sheets.

Step 2

Bring water, milk, oil, and salt to boil in a large saucepan. Remove from heat; add tapioca starch and mix well. Let cool, 10 to 15 minutes.

Step 3

Transfer tapioca mixture to a large bowl. Add egg and mix well to combine. Fold in Parmesan cheese and knead until dough is smooth but still sticky.

Step 4

Scoop out 1 tablespoon of the dough and roll into a small ball; place on baking sheet. Repeat with remaining dough.

Step 5

Bake in the preheated oven until golden brown, about 20 minutes.