Preheat oven to 400 degrees F. Spray a baking sheet with oil; set aside. In a medium bowl, combine flour, cheese, dill, apple, baking powder, and salt. Cut in butter until mixture resembles fine crumbs. Slowly stir in one egg and milk until mixture leaves sides of the bowl.
Turn dough onto a lightly floured surface and knead for a minute or two. Roll into an 8-inch to 10-inch circle. Using a 2-inch triangular cookie cutter, cut dough and place the pieces on prepared baking sheet.
Brush scones with remaining egg. Bake 10 to 12 minutes, until golden. Remove from the cookie sheet and place on a wire rack to cool.