In a wok, melt butter, add onion, and cook until soft and translucent.
Stir in garlic, flour, white pepper, red chili, black pepper, salt, and garam masala, then cook for 1 minute.
Pour in milk, stir until smooth, and cook 2–3 minutes until thickened.
Mix in capsicum, coriander, and shredded chicken, cook 2 minutes, then let the filling cool.
Cut each paratha into four parts, brush edges with egg, add filling, top with another paratha piece, seal with a fork, and brush with egg.
Place on a baking tray lined with parchment, bake at 180°C (350°F) for about 25 minutes until golden.