Preheat oven to 350 degrees. Line large baking sheet with parchment paper.
Whisk together flour, Parmesan, walnuts, herbs, baking powder, salt, and cayenne in a medium bowl. Whisk together egg, egg yolk, milk, and oil in a small bowl. Add wet ingredients into dry and stir to combine. Turn mixture out onto a lightly floured surface; with floured hands knead dough until completely combined.
Divide dough in half and form two 10-inch logs. Place logs on prepared baking sheet. Bake for 25 minutes until lightly browned on bottom, rotating pan from front to back halfway through cooking time. Let cool on baking sheet on wire rack for 15 minutes.
Reduce oven temp. to 300 degrees.
With serrated knife, cut each log into 12-15 slices about 1/2-inch thick. Place slices, cut side down on baking sheet, bake until lightly browned, about 15 minutes. Turn slices over and bake another 15 minutes. Transfer to racks and cool completely.