Heat oven to 400° F. Line a baking sheet with silpat or parchment paper and set aside.
In a mixing bowl, stir together the flour, baking powder, salt, baking soda and black pepper.
Using a pastry blender or your hands, cut the butter into the flour mixture until the mixture looks like fine crumbs.
In a separate small bowl, whisk together the egg yolk, milk and the horseradish. Pour into the flour mixture and stir until just combined.
Gently fold in the ham, shredded cheese, and scallions.
Turn the dough out onto a lightly floured work surface. Knead very lightly and form a circle. (Add a little more flour to the dough if the dough becomes too sticky to handle). Cut the dough into 8 triangle wedges and place them on the small baking sheet.
Lightly brush the tops of the scones with the egg white. Add a little additional shredded cheese and black pepper to the tops.
Bake for 15-17 minutes, or until golden. Let the scones cool on the baking sheet for 1 minute, then transfer onto a wire rack to continue cooling.
Mix together ingredients until combined.