Combine flour, cheese, salt and BBQ rub in a food processor and pulse until just combined. Using a cheese grater, shred stick of cold butter into flour mixture (or add butter in small pieces). Pulse until mixture resembles coarse crumbs. Add egg yolk and water and pulse until mixture resembles moist crumbs. Turn loose dough out onto floured work surface and, using the heel of your hand, gently push and smear crumbs away from you until a cohesive dough starts to form. Fold the dough onto itself a couple of times, smear it again, and shape into a 1 1/4-inch diameter log. Wrap in plastic and refrigerate until firm, at least 2 hours or up to overnight.
Preheat oven to 375 degrees. Cut log into coins about 1/4-inch thick and place on parchment-lined baking sheets about 1/2-inch apart. Bake for 10 to 15 min. until golden around the edges. (Some BBQ rubs have more sugar than others; keep an eye on the crackers to make sure they don’t start to burn from the sugar.) Remove and cool on baking racks. Serve once they are completely cool. Store in an airtight container.