Preheat oven to 450 degrees F (230 degrees C). Pour tapioca flour into a medium sized bowl.
Combine water, oil, and salt in a saucepan and bring to boil. Pour oil mixture into flour mixture; stir with a wooden spoon until batter is combined. Let cool slightly. Fold in egg, yogurt, Parmesan cheese into batter.
Grease hands with oil and form the batter into 12 balls; arrange on a nonstick baking sheet.
Reduce oven heat to 350 degrees F (175 degrees C).
Bake in the preheated oven until toothpick inserted in the center comes out clean, 25 to 30 minutes.