Preheat the broiler to high.
Rough chop the capers and parsley.
Beat the egg in a large bowl.
In the same bowl as the beaten egg, add panko, chopped capers, chopped parsley, parmesan cheese, and lemon juice, and mix.
Add ground chicken, pepper, and milk, and gently fold the mixture together.
Make golf-ball-size meatballs.
Spray a broiler pan or cookie sheet with non-stick spray.
Broil meatballs on high for 10-12 minutes until lightly brown.
Turn them over and broil them for another 8 minutes.
Transfer to a large bowl and pour sauce over the meatballs.