Start by mixing together the dry ingredients in a medium-sized bowl- the rye flour, baking powder, salt, granulated sugar, and cinnamon. Set it aside.
In another, smaller bowl, mix together the milk, Greek yogurt, egg, and vanilla.
Cut the butter into ½-inch chunks- be sure it is chilled. Add it to the dry ingredients and cut it into pea-sized pieces with a pastry cutter or with your hands. The key is keeping is cold, so work quickly.
Add in the wet ingredients and mix together quickly. Turn it out onto a floured surface and knead it gently. The dough will be sticky, but don’t stress, rye flour absorbs a lot of moisture.
Form into your scones- I did a round shape, but you can do a triangle, square, or whatever you want. Place the shaped scones on a parchment-lined baking sheet and right into the fridge.
These will need to chill for at least 15 minutes. While it is chilling, preheat the oven to 400 degrees.
Mix together your egg wash of egg and milk or heavy cream. Brush the top of the scones with the egg wash and sprinkle with the raw sugar.
Move to the oven and bake for 12-15 minutes. They will be lightly browned around the edges and fluffy.
Remove from the oven and let them cool slightly. Mix together the spiced glaze and drizzle it over the top of the scones.