Preheat oven to 180 C / 350 F / Gas 4
Mash together the cheese (feta and mozzarella), 1 egg, parsley and the milk to form a smooth paste.
Season with salt and pepper. However, if the feta cheese is already salty, you may wish not to add salt. Place the filo sheets on a flat surface.
Keep the pastry covered with a damp cloth as you are working. This will help to avoid it getting too dry or less manageable.
Working with one sheet at a time, cut the filo into strips about 10-13cm/4-5in wide. Keep the strips covered with another damp cloth.
Lay one strip of filo and place a tablespoon of the filling along one of the short ends (take care not to overfill as the filling may ooze out while cooking). Fold over the pastry from each side to seal in the mixture and then roll up like a cigar.
Wet the end of each pastry roll with water to seal. Continue, keeping the finished ones covered with a damp cloth as you work. Refrigerate until required.
Mix the olive oil and the other egg in a bowl. Grease the tray with a little olive oil. Brush the pastries with olive oil and egg mixture and bake until they are golden brown, about 25 – 30 minutes.
You can serve these delicious rolls, Sigara Boregi, hot as part of a meze spread. We also like to eat them as morning or afternoon snacks.