Preheat oven to 400F. Line a large baking sheet with parchment paper and set aside.
In a medium sized mixing bowl, combine the flour, Greek yogurt and pumpkin purée. Mix until you get a shaggy, sticky dough. Add your sugar, cinnamon and water at this point. Stir to combine.
Turn mixture onto a well floured surface. Knead the dough, and fold it over on itself until it is no longer sticking to your hands and the surface. Shape into a disc about 3/4 inch thick (yes it is thick!) Place disc on prepared baking sheet.
Slice the disc into 8 equal triangles, like a pie, but do NOT separate them.
In a separate small bowl, mix the milk and oil together well, then use a pastry brush to brush over the tops of the scones. This is like a fake egg wash.
Add a sprinkle of granulated or coarse sugar over the tops of the scones.
Bake for 17-20 minutes or until the internal temperate is about 200F.
Make the Cinnamon sugar glaze
In a small pot, combine the sugar, milk and butter. Cook at medium heat for 3-4 minutes, with a gentle boil and stirring constantly.
Remove from heat, and add the baking soda, vanilla and cinnamon. Stir well, then immediately pour over the baked scones. The glaze will thicken quickly as it cools.