Preheat the oven to 425°F (220°C).
In a small bowl, whisk together Dijon mustard, honey, and lemon juice. Season with salt and pepper.
Roll out the puff pastry slightly into a rectangle, then cut into 6 squares (if it's already in a rectangle shape, leave it as is). Place each square on a baking sheet lined with parchment paper.
Place a slice of ham on each square, then spread about 3-4 teaspoons of the sauce on the ham, top with shredded cheese, and sprinkle with thyme leaves.
Bring the four edges of each puff pastry square together towards the center and thoroughly pinch them together in the middle.
Make the egg wash: In a small bowl, beat the egg with 2 teaspoons of water. Brush the pastries with the mixture.
Bake for 15 minutes then reduce the temperature to 320°F (160°C) and bake for 10-15 minutes or until deeply golden (keep an eye on the pastries at the end of the baking time making sure they don't get too dark).
Enjoy!