Preheat oven to 375F and line a large baking sheet with parchment paper.
Lay oats in a single layer on sheet pan. Bake at 375F 8-10 minutes until a light golden brown and fragrant. Remove oats from oven and pulse several times in a food processor (or roughly chop with a knife) until slightly chopped. Set aside to cool.
In a large bowl, combine cooled oats, flour, sugar, baking powder, cinnamon, and salt. Use your fingers or a pastry cutter to incorporate butter into flour mixture until crumbly.
In a separate medium bowl, whisk milk, heavy cream, and egg until smooth. Set aside 2 tablespoons of this mixture and add the remaining to the dry flour mixture, gently folding until a shaggy dough forms.
Turn dough onto a floured surface and pat into a 1-inch thick circle. Cut circle into 4 pieces using a benchscraper or knife and stack the pieces on top of one another. Use your hands to flatten dough back down to 1 inch and pat into a circle.
Cut dough circle into 8 wedges and arrange 2 inches apart on prepared sheet pan. Place pan in the freezer for 15 minutes to chill the fats in dough before baking.
Preheat oven to 400F. Remove scones from freezer and brush scones with reserved milk-egg mixture. Bake scones at 400F 15-20 minutes until golden brown. Allow scones to cool completely on a wire cooling rack.