Preheat oven to 375 degrees F. Spray a large baking sheet with nonstick cooking spray; set aside.
Heat oil in a skillet over medium-high heat. Add mushrooms and onion and sauté for 5 minutes, or until onions are tender. Season with salt and pepper then remove from heat. In a large mixing bowl, combine onion mixture, cream cheese, yogurt, garlic powder and chicken; set aside.
In a mixing bowl or stand mixer, combine self rising flour and Greek yogurt until a thick dough forms. Roll dough out onto a lightly floured surface and divide into 12 equal pieces (approx. 1.5 ounces each). Roll out each piece of dough into a rectangle shape (approx. 3”x6”).
Divide filling equally between pieces of dough (approx. 2.6 ounces each) and roll up. Place seam side down in prepared pan. Whisk egg then brush on the outside of each chicken pillow. Sprinkle bread crumbs on top then spray with cooking spray.
Bake for 20-22 minutes, until lightly golden brown. Broil on high for 1-2 minutes after cooking to toast bread crumbs.