In a skillet, heat 1 tbsp. EVOO over medium heat. Add the onion and cook until tender, 5 minutes; let cool.
In a bowl, beat together the egg and milk. Add the bread; let stand for 5 minutes. Stir in the onion, cheese, 1/2 tsp. salt and 1/4 tsp. pepper. Mix in the meat and roll into 2-inch balls.
In a large nonstick skillet, heat 2 tbsp. EVOO over medium heat. Add half of the meatballs and cook until browned, 7 minutes. Transfer to a plate; repeat with the remaining 1 tbsp. EVOO and meatballs.
Meanwhile, in a pot, bring the sauce to a simmer. Add the meatballs, cover and cook until firm, 10 minutes. Divide them among 4 plates; top with the sauce and parsley.