Place the ground turkey, onion, garlic, egg, bread crumbs, Parmigiano-Reggiano cheese, parsley, pesto, milk, salt, and black pepper in a bowl. Mix until evenly blended, then form into 1 3/4-inch meatballs. Make a hole in the meatball with your finger and place a cheese cube in the hole. Seal the meatball around the cheese and place on a nonstick baking sheet. Drizzle the olive oil over the meatballs.
Bake in the preheated oven until the meatballs are no longer pink in the center, about 30 minutes. Heat the marinara sauce in a saucepan over low heat. Bring to a simmer, and place the baked meatballs in the marinara sauce for about 2 minutes.