Preheat the oven to 375°F (190°C) and line a baking sheet with parchment paper.
In a bowl, mix the Greek yogurt and self-rising flour until a sticky dough forms.
Turn the dough out onto a floured surface and knead until smooth, about 2–3 minutes.
Divide the dough into small pieces and roll each into a rope. Cut into bite-size pieces.
Place the pieces on the prepared baking sheet. Brush with beaten egg and sprinkle with salt if using.
Bake for 18–22 minutes, or until golden brown.