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Heat the oven to 450°F. Line a baking sheet with parchment paper.
In a medium saucepan, heat the milk, oil, and salt over medium heat until it comes to a gentle boil. Stir occasionally. Remove from the heat when large bubbles start to form.
Add the tapioca flour and stir to incorporate completely. The dough with be grainy and gelatinous.
Transfer to the bowl of a stand mixer. Use the paddle attachment and beat for several minutes to cool down the dough. It should be cool to the touch.
Beat in the egg until fully incorporated, scraping the bowl if needed. Beat in the cheese. The dough will be sticky, soft, stretchy, and not completely smooth.
Use a cookie scoop, dipped in water, to portion out the buns onto the parchment paper lined baking sheet.
Place in the oven and lower the heat to 350°F. Bake for 15 minutes, rotating halfway through. Bake for another 15 minutes, or until puffed and dry to the touch, with the bottoms just starting to turn golden brown. Let cool slightly and enjoy warm.
Most people like to eat these warm, so if you have extra, you can recrisp them in a warm toaster oven or oven. Personally I love them at room temperature :)