Make the dough: In a large bowl, whisk the all-purpose flour, baking powder, and 1 tsp kosher salt. Add 0.25 cup neutral oil and the warm water, stirring until a shaggy dough forms. Knead on a counter until smooth and elastic, 2–3 minutes; form into a ball, coat lightly with a film of the remaining oil, cover, and rest 30 minutes.
Cook the potatoes and onions: Put the russet potatoes in a pot, cover with cold water by 1 inch, bring to a boil, and simmer until very tender, 15–18 minutes; drain and return to the pot to steam off excess moisture, 2 minutes. While the potatoes cook, heat 3 tbsp of the remaining oil in a skillet over medium heat; add the yellow onion and cook, stirring, until deep golden and sweet, 12–15 minutes; set aside.
Make the filling: Mash the hot potatoes until mostly smooth. Stir in the onions with their oil, the remaining 1.5 tsp salt, and the black pepper until well combined; let the filling cool to room temperature.
Shape: Heat the oven to 400°F. Line a large baking sheet with parchment. Divide the dough in half. On a lightly floured surface, roll one piece into a roughly 12×16-inch rectangle. Spread half the filling in a 2-inch-wide strip along the long edge closest to you, leaving 1 inch at the ends. Roll up into a tight log, seam-side down; pinch the seam closed and twist the ends to seal. Gently stretch the log to even thickness, then use the side of your hand to create pinches every 2.5 inches; cut at the pinches. Tuck the cut ends under each piece and place on the prepared sheet. Repeat with the remaining dough and filling.
Finish and bake: Beat the egg in a small bowl. Press a thumbprint into the center of each knish, then brush the tops and sides lightly with it. Bake until deep golden brown and the dough is cooked through, 30–40 minutes, rotating the pan halfway; the bottoms should sound hollow when tapped. Cool 10 minutes before serving.