Set up a breading station in three large bowls with flour in one, egg and water whisked together in the second, and breadcrumbs in the third.
Pat each ham steak dry with paper towels, then dredge through the flour, then the egg wash, then the breadcrumbs, pressing firmly to make sure the breadcrumbs adhere.
Place the breaded ham steaks on a lined platter or baking sheet.
Heat a large heavy-bottomed skillet over medium-high heat and add enough oil to fill the skillet to about 1/4 inch.
When the oil is 350ºF, pan fry the ham steaks in batches for about 3 minutes per side, or until golden brown.
Drain the ham steaks on a wire rack over a pan.
When all of the ham steaks are done, pour off any excess fat, add the shallots, and deglaze with the white wine and lemon juice.
Reduce the wine and lemon juice by half and add the capers. Remove the pan from the heat and whisk in the butter, a bit at a time.
Place the ham steaks on a platter, spoon the butter sauce over the steaks, and garnish with the Romano cheese and parsley. Serve immediately.