In a large bowl, use an electric hand mixer to beat the sweetened condensed milk, powdered sugar, and cream cheese together until smooth.
Place the mini Oreos in a plastic bag, and roll with a rolling pin until the Oreos are crushed into rough pieces.
Crack the egg into a small bowl and beat it with a fork. Set aside.
Lay an egg roll wrapper in a diamond shape, with one corner pointing towards you and one corner pointed away. About ⅓ of the way up the wrapper, place about 1 ½ tbsp of cream cheese filling in a horizontal line, leaving about ½” on the right and left sides. Sprinkle some Oreo pieces on top of the cream cheese filling.
Fold up the bottom corner to cover the filling and roll once. Wrap in the two side corners, then continue wrapping until you get to the final, far corner. Wet it with a bit of the beaten egg to hold it in place, then stick the final corner to the egg roll.
Heat about 2” of oil until it’s hot enough that when you add an egg roll, it begins to fry immediately. Deep fry the egg rolls in batches, about 4 at a time, turning them so that they cook evenly. When they are brown and the wrapper has bubbled, remove them from oil and let them rest on a paper towel-lined plate to remove excess oil.
Sprinkle with powdered sugar and enjoy!