Diced and saute the onions with a teaspoon of oil until it becomes translucent; add the chili and set aside to cool down.
In a big bowl mix all the dry ingredients.
In another bowl beat the butter and egg yolks until creamy. Add it to the flour mixture and mix well. Add the milk and mix until well combined.
In a small bowl beat the egg whites until soft peak. Use half of the egg whites and gently mix it into the dough using your hands. You´ll have a sticky dough.
Now that the onions have cool down, mix in the cheese and the other half of the egg whites.
Cut 3 pieces of parchment paper and spray them with oil. Divide the dough in 3 equal portions, and with well greased hands stretch the dough into a rectangle. Divide the cheese and put it in the middle of each rectangle.
Using the parchment paper, bring ¼ of the dough to the middle of the rectangle, do the same with the other side. Transfer the rolls with the parchment paper to a baking sheet.
Bake for about 40 minutes at 375°F / 190°C. Wait about 10 minutes before cutting.