Preheat the oven to 400 degrees F (204 degrees C).
Add the self-rising flour and Greek yogurt to a bowl and mix it until it becomes crumbly in texture.
Use your hands to knead the dough for a few minutes until it starts to come together into a ball.
Sprinkle a little flour on a surface and slice the dough into 4 sections. Roll out each section into a long log about ½ inch thick.
Use a knife to slice the log into small bite-size pieces.
Add the baking soda into a small saucepan with boiling water. Once the baking soda is dissolved and the water is boiling, quickly add in the bites, a few pieces at a time, and let them sit for about 20 seconds (no more than 25 seconds). Use a slotted spoon to remove them, shake off the excess water, and place them onto a parchment paper-lined pan.
Let the bites cool for a few minutes. Whisk together the egg and one tablespoon of water to form the egg wash. Brush a light layer onto each piece.
Bake at the bites for 12-14 minutes, or until the bites are golden brown in color. Let them cool.
If you choose to coat the bites in cinnamon sugar, melt the butter and combine the cinnamon and sugar together until it is well combined. Dip each bite in the melted butter then into the cinnamon-sugar mixture.