Preheat oven to 350 degrees F. Line a large baking sheet with aluminum foil and spray with nonstick cooking spray.
In a large bowl, combine egg, milk, oats, Italian seasoning, salt and pepper; stir until well combined. Let sit for 5 minutes to allow oats to absorb liquid. Add onion and ground beef, mixing well. Grabbing baseball-sized portions, form mixture into six small meatloaves (the loaves will shrink slightly as they bake). Stuff each portion with a string cheese half, forming meat mixture around cheese. Place onto prepared baking sheet.
In a separate small bowl, stir together ketchup, brown sugar and mustard. Spoon evenly over each loaf.