Preheat the oven to 200°C / 400°F / Gas Mark 6 (no fan).
Grate the cheese (cheddar on large holes of a box grater, parmesan on small ones), drain the sun-dried tomatoes, finely chop the tomatoes (you should have 1/2 cup finely chopped sun-dried tomatoes) and olives. Mix all the ingredients together.
On a sheet of parchment paper or a silicone mat, lightly roll out the puff pastry to a thickness of approx. 2 mm / 1/16 inch into a rectangle shape. If you’re using all-butter puff pastry (homemade or store-bought) you need to sprinkle it well with flour, on both sides, before rolling out. It sticks a little more than a regular store-bought puff pastry.
Spread the filling in an even layer over the rolled out dough, press it lightly into the dough.
Roll up the dough to create a long roll.
Cut the log into ½ inch / 1 cm slices, using a very sharp serrated knife, or better a thread (as on the photos) - the slices will be more even and look better. Slice a piece of thread under the roll, cross the ends over the top, pull tight and repeat. Don't worry if the slices are not perfectly round and even!
Place the pinwheels on a baking tray lined with parchment paper, arrange the rolls 3 cm / 1 inch apart (they will rise a little). Press the pinwheels lightly to flatten them and adjust their shape. They should be roughly of even thickness.
Beat the egg with a fork and mix it with milk. Brush the pinwheels with the egg wash.
Bake the pinwheels for 10 minutes, then reduce the temperature to 180°C / 350°F / Gas Mark 4 and bake for about 13 minutes or until golden brown. Make sure to keep an eye on them in the last 5 minutes to ensure they won't burn. The baking time can be longer or shorter in your oven!