Preheat an oven to 375 degrees F (190 degrees C). Grease two baking sheets.
Beat the egg in a bowl until smooth.
Add the ground beef, cayenne pepper, crushed cereal, onion, salt, black pepper, and parsley.
Mix until evenly combined; set aside. Stir together the flour, baking powder, salt, and sugar in a separate bowl.
Cut in the shortening with a pastry blender until no lumps of shortening remain and the mixture takes on a sandy appearance. Stir in the milk until a dough forms.
Roll the dough out to a 10x15-inch rectangle on a well-floured surface.
Spread the meat mixture evenly over the entire surface of the dough.
Roll the dough into a cylinder from one of the wide ends to form a 15-inch long log.
Cut the log into 3/4-inch slices and place on to the prepared baking sheets.
Bake in the preheated oven until dark golden brown, 30 to 45 minutes.