In a bowl serve the flour, egg, milk, salt and oil, you must mix until a homogeneous dough without lumps. Set aside for 20-30 minutes (the dough can be prepared in advance and cooled in the refrigerator until ready to use).
Stretch the dough with a roller until a thickness of approx. 2 millimetres is achieved. Then cut strips 1.5 cm wide.
Cut the cheese into 1 cm thick sticks.
Roll up the cheese with the dough strips. Tightly adjust the ends to prevent them from opening when cooking.
Heat the oil in a frying pan or cauldron. Add the tequeños and cook over medium heat until golden brown. (approx. 3 minutes)