HEAT oven to 350°F.
MAKE 2-inch-long cut in one long side of each chicken breast to form pocket; fill with cheddar, mushrooms and chiles. Press cut edges of pockets together to seal.
WHISK egg in pie plate. Combine parsley and Parmesan in separate pie plate. Dip chicken, 1 breast at a time, in egg, then in parsley mixture, turning to evenly coat both sides of each breast. Place in 8-inch square baking dish sprayed with cooking spray.
BAKE 20 to 25 min. or until chicken is done (165ºF).