Preheat the oven to 220C/425F/Gas 7.
Sift the flours and baking powder into a large, roomy bowl, tip in any bran left
in the sieve, then add the cayenne and mustard powder and, using a knife, work in the 2 tbsp of olive oil, plus the reserved tbsp of oil from the sun-dried tomatoes.
When the mixture looks like lumpy breadcrumbs stir in the chopped thyme, cubed feta, olives and sun-dried tomatoes.
Now in a separate bowl beat the egg with the 2 tbsp of milk and add half this mixture to the other ingredients. Using your hands, bring the mixture together to form a dough, adding more of the egg and milk as it needs it - what you should end up with is a dough that is soft but not sticky.
Now on a floured board, roll the dough out to a depth of 2.5cm/1in. Then stamp out the scones using a 5cm/2in cutter, either plain or fluted. Put the cut-out pieces on a baking tray and brush them with the milk.
Finally top each scone with the crumbled feta, and put the tray on the highest shelf of the oven to bake for 12-15 minutes or until they've turned a golden colour. Then remove them to a wire rack until they are cool enough to eat.