Preheat the oven to 300 degrees. Mix together the egg, milk, mayonnaise, cheeses, onion, salt and pepper. Transfer to an 8-inch-square glass or ceramic baking dish.
Place the baking dish in a roasting pan and transfer to oven. Pour hot water into the roasting pan. Check that the water comes halfway up the sides of the baking dish. Bake for 45 minutes or until top is lightly browned.
Serve hot with bread or crackers.