Special equipment: a 2-inch biscuit cutter
Preheat the oven to 400 degrees F. Line a baking sheet with parchment paper.
Sift together the flour, sugar, baking powder, baking soda, salt and black pepper in a mixing bowl. Cut in the butter until the mixture resembles a coarse meal. In another bowl, combine 1 of the eggs, the yogurt and 3 tablespoons cold water. Beat lightly with a fork. Add to the flour mixture, stirring until you make a soft dough. Add in the feta and chives. Place the dough on a floured surface and knead together.
Roll or pat out the dough to 1-inch thickness. Using a 2-inch biscuit cutter, cut out the dough. Place the dough rounds on the prepared baking sheet, brush with the egg wash and sprinkle with coarse sea salt and black pepper. Bake for 12 to 15 minutes. Serve warm.