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Preheat the oven to 180 degrees Celsius fan.
In a saucepan, add the milk, water, and oil and place over a high heat. Stir and once it comes to a boil, remove off the heat.
In a standing mixer, add the tapioca flour and warm milk mixture. Knead for 2 minutes until the dough forms.
Add in the egg and pinch of salt. Continue kneading on a medium speed for another 3-4 minutes.
Add in the grated cheeses and knead again for another minute until they've combined with the dough.
Using your hands or spoons, form the cheese rolls taking about a heaped tbsp of the dough. Place on a baking tray lined with parchment paper.
Bake for 25 minutes or until lightly golden on top. For the best taste, serve whilst warm.