Preheat the oven to 220C (425F) Gas mark 7. Heat a non-stick frying pan over a medium heat. Add the oil and fry the bacon for about 5 minutes until crispy, then tip on to some kitchen paper to drain.
Put the flour, baking powder, mustard and pinch of salt into a bowl. Rub in the butter until it looks like fine breadcrumbs. Stir the Cheddar with the herbs, bacon, then make well in the centre and add the buttermilk. Stir with a round-bladed knife to make a soft dough, then bring together quickly with your hand to form a ball.
On a lightly floured surface, roll out the dough to a 2cm thickness and cut into rounds with a 6cm plain or fluted cutter. Place on a non-stick baking sheet. Brush with the egg glaze and bake for about 10 minutes until well risen and golden brown.
Transfer the scones to cool on a wire rack. Serve warm on plates, split and spread with butter.