Preheat the oven to 350°F. Grease or line a baking sheet with parchment paper.
In a small bowl, combine cheeses, egg, and coconut oil.
Place the flour in a large bowl.
Add the cheese mixture to the flour, stir until the cheese is evenly distributed in the flour.
Add ¼ cup of water to the mixture and combine. If the dough is crumbly, add more water, a tablespoon at a time, until the dough holds together in a ball and can be rolled.
Place the dough on a lightly floured surface and roll it out until 1/3 inch thick.
Use a cookie cutter to cut out shapes and place them on the prepared baking sheet. Re-roll the leftover dough and cut shapes until there is none left.
Bake for 20 to 25 minutes.
Transfer the baked treats to a wire rack and cool them to room temperature.