Combine oatmeal, cake flour, baking powder, and salt in a large bowl.
Steep the Earl Grey tea bag in hot milk, then let it cool.
Add sugar, tea-infused milk, melted butter, and egg to the bowl and mix well.
Bring the mixture together to form a single dough.
Shape into a round and cut into 6 equal pieces.
Place on a baking sheet and brush the tops with milk.
Bake in a preheated oven at 180°C (356°F) for 20-25 minutes.