Steam the bao according to the instructions on the packaging.
Meanwhile, heat some oil in a medium hot pan.
Crack the egg in a bowl, mix and season with salt and pepper.
Pour the egg into the pan, when possible, fold over the edges to make a rectangular omelett. Top the omelett with cheddar cheese, cover the pan with a lid and let the cheese melt.
Fill the bao with the cheesy omelett, ham, kewpie mayonnaise and ketchup.