In the bowl of a standing mixer with the whisk attachment, beat the eggs in medium 1 speed for two minutes. Reduce the speed to low and slowly add olive oil, yogurt and parmesan. Beat until they are fully incorporated.
Change the attachment to dough hook and add the flour. Start the mixer in low speed and then increase to medium. Beat until a smooth dough has formed. Let the dough stand for 10 minutes.
Prepare the filling.
In a medium bowl, beat the egg. Add the crumbled feta and freshly-ground pepper. Gently stir with a fork to mix them together.
Assemble and bake.
Preheat the oven to 400°F / 200°C. Line a baking sheet with parchment paper.
Place the dough on your kitchen counter, cut it into pieces and divide it into small balls (about 30). Roll each ball in your palms and then press it on the counter to even it out into a dough circle.
Add a small quantity of the filling (about a teaspoon) on the half part of the circle and close the other half on top to create a semicircle. Press the edges with your fingers to seal. Place the mini cheese pies on the lined baking sheet.
In a small bowl mix the egg yolk and water with a fork until it is completely dissolved. Brush the top of the mini pies with the egg wash and sprinkle the sesame seeds on top.
Bake for 25 minutes.
NOTES
If your eggs are small, you might need to add a little more olive oil if the dough seems too stiff.