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Position an oven rack near the top of the oven. Preheat the oven to 450°F, with a baking sheet inside.
Use a fork to beat the egg together with the mayonnaise and season with salt and pepper. Mix breadcrumbs and grated Parmesan in a shallow dish. Cut cod fillets into 1-inch-thick by 4-inch-long pieces. Pat off extra moisture with paper towels, and toss cod pieces in flour.
With one hand, dip a piece of cod into the egg mixture and put it on the breadcrumbs. With the other hand, coat each piece with breadcrumbs. Stack breaded cod pieces on a plate, repeating until all the cod is breaded.
Remove the hot baking sheet from the oven, pour on the olive oil, and melt the butter, if using. Arrange the cod pieces in a single layer. Bake until just cooked through, flipping halfway through, about 4 minutes per side for thick pieces, 2 to 3 minutes for thinner ones. Serve with tartar sauce or favorite dipping sauce.