Preheat oven to 350°F/180°C and line a baking pan with baking paper.
In a mixing bowl, whisk together the almond flour, coconut flour and baking powder. Set aside.
Place the mozzarella and cream cheese in a double boiler and melt over low heat. Alternatively microwave the mixture for 30 seconds, covered.
Make sure the cheese mixture is not too hot and add the eggs. Fold in the flour mixture and transfer in a food processor or blender. Process to get a smooth but sticky dough.
Place the mixture in a plastic food bag (or plastic/saran wrap) and roll it into a ball.
Divide into 8 pieces. If the dough is too sticky to work with, lightly oil your hands with a few drops of vegetable oil and roll each piece into a ball.
Place the dough balls on the prepared baking pan, leaving about 2 inches room to expand.
For the egg wash, whisk the remaining egg and brush the top of each roll with a pastry brush.
Bake rolls for about 15-20 minutes until rolls are golden brown and serve hot.