In another bowl whisk together the egg, yogurt and water. Add to the flour mixture and stir just until the dough is soft. Add chives and feta cheese and dump onto a your clean counter. Knead the dough a few times until the dough comes together.
In a large bowl, mix together the flour, sugar, baking powder, baking soda, salt and black pepper. Using your fingers or pastry cutter, cut in the butter until mixture resembles coarse meal.
Preheat oven to 400 F degrees. Line a baking sheet with parchment paper.