Preheat the oven to 200 degrees F. Line a baking sheet with parchment paper or plastic wrap. Beat the egg and 1/4 cup of the milk together in a sided dish. Mix together the flour, salt, pepper, sage and paprika in another sided dish. Coat a steak in the flour, and then dip and coat in the egg mixture. Coat in flour again and then set on the baking sheet. Repeat with the remaining steaks. Reserve the leftover flour.
Heat a 1/4-inch of oil in a very large skillet set over medium-high. When the oil is hot, add the steaks and fry until golden brown and cooked through, about 3 minutes per side. Drain the steaks on paper towels, and then keep warm in the oven.
Drain all but about 2 Tbsp. of the oil from the skillet. Stir in 2 Tbsp. of the reserved flour and mix until well combined with the oil and brown in colour. Slowly whisk in the remaining milk and the water and bring to a simmer. Simmer a few minutes to thicken the gravy; season with salt and pepper. Divide the steaks among plates; top with gravy and serve.