Preheat the oven to 400 degrees F (200 degrees C). Line a baking sheet with aluminum foil.
Rub potatoes with vegetable oil; place on the prepared baking sheet.
Bake in the preheated oven until a paring knife easily inserts into center of a potato, about 1 hour. Cool until easy to handle, about 10 minutes.
Cut ⅓ off each potato lengthwise; reserve. Scoop flesh to about ⅛-inch of potato skins; transfer flesh to a bowl.
Combine potato flesh, 3 tablespoons butter, and green onion until butter melted; season with salt, black pepper, and cayenne pepper. Stir in Cheddar cheese until melted. Stir in cream and egg yolk until combined; season with salt.
Place 1 reserved small piece potato skin inside bottom of each larger potato shell. Divide and fill each potato with cheese mixture. Gently press surface of filling with a fork to create texture. Brush tops with 1 tablespoon melted butter; sprinkle with paprika.
Bake in the preheated oven until golden brown on top, 20 to 30 minutes.
