Preheat the oven to 400 degrees F (200 degrees C).
Place tapioca flour in a mixing bowl. Combine milk, olive oil, and salt in a pan. Bring to a simmer over medium-high heat. Immediately remove from heat and pour into the bowl with the tapioca. Mix until a shaggy dough starts to form. Let rest for 5 minutes.
Add mozzarella and Parmesan cheeses, eggs, and cayenne. Stir with a fork until thoroughly combined. Use an ice cream scoop to portion dough onto a silicone-lined baking sheet. Poke down any jagged bits using a wet finger if desired.
Bake in the preheated oven until puffed and golden, about 20 minutes. Let cool for 5 minutes and serve warm.
