Preheat your oven to 400°F (200°C) and line baking sheets with parchment paper.

Roll out the thawed puff pastry to about 1/8 inch thick on a floured surface.

Spread a thin layer of Dijon mustard over each pastry sheet.

Lay out slices of deli ham evenly over the mustard, then sprinkle cheddar cheese on top.

Sprinkle black pepper and dried thyme over the cheese.

Cut the pastry into 12 strips, twist each strip, and place on the baking sheet.

Whisk together the egg and water, and brush the mixture on top of each twist.

Bake for 15-20 minutes until golden brown and puffed up.

Let cool for a few minutes before serving warm.