In a small bowl, combine the goat cheese, sausage, cayenne, 1/4 teaspoon of the salt, and the parsley.
With a sharp knife, make an incision along the side of each chicken breast and cut into the middle, making a pocket without cutting through the edges. Fill each breast with the goat-cheese mixture and pinch the cut side of the breast together to seal in the stuffing.
In a small bowl, whisk the egg with the water. Mix the cornmeal with the remaining 1/4 teaspoon salt and the pepper. Dip each chicken breast in the cornmeal mixture to coat lightly, then into the egg mixture, and then back in the cornmeal.
In a large frying pan, heat the oil over moderately high heat. Add the chicken and cook for 5 minutes. Turn and continue cooking until golden brown and cooked through, about 5 minutes longer.
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