Activate the yeast: In the lukewarm milk, stir in the sugar and yeast. Let it stand for 10 minutes, until foamy.
In a large bowl, combine the all-purpose flour, cornmeal, and salt. Cut in the butter using a pastry blender or your fingertips until the mixture resembles coarse crumbs.
Add the sour cream, egg, and the activated yeast. Knead the dough thoroughly until it comes together.
On a lightly floured surface, roll the dough out to about ¾ inch (2 cm) thickness. Fold the dough in thirds, like a letter, to create layers.
Cover with a clean kitchen towel and let rest for 30 minutes to allow the dough to rise slightly.
Roll out the dough again to about ¾ inch (2 cm) thickness. Use a scone cutter to cut out the shapes.
Place the scones on a baking sheet lined with parchment paper. Brush the tops with the beaten egg.
Bake in a preheated oven at 350°F (180°C) for 20-25 minutes, or until golden brown.
Let cool slightly before serving. Enjoy them fresh, with a crispy exterior and a soft, tender interior.
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