Preheat the grill. Mist both sides of the aubergine slices with nonstick cooking spray and sprinkle both sides with the Italian seasoning, 1/4 teaspoon salt and 1/4 teaspoon pepper. Place on a rimmed baking sheet and broil until browned and tender, turning once, about 6 minutes. Set aside. Reduce the oven temperature to 210°C.
Meanwhile, combine the flour and cayenne in a shallow dish. Combine the egg whites and 1 teaspoon water in a second dish. Combine the cereal and Parmesan cheese in a third dish. Working with 1 piece of chicken at a time, dredge with the flour and tap off the excess. Coat with the egg whites and then place in the cereal mix and press until well coated on both sides. Repeat with the remaining chicken.
Mist a large nonstick skillet with nonstick cooking spray and heat over medium-high heat. Add 1/2 of the oil and then 2 pieces of the coated chicken. Cook, turning once, until the chicken is just cooked through, about 5 minutes. Transfer to a 9-by-13-inch baking dish coated with nonstick cooking spray and repeat with the remaining oil and chicken.
Place 2 aubergine slices on each chicken cutlet and top evenly with the sauce and cheese. Return to the oven and bake until the cheese is melted and lightly browned, 15 to 20 minutes. Sprinkle with parsley and 1/4 teaspoon salt and pepper to taste.