Preheat your oven to 400°F and line a baking sheet with parchment paper.
Roll out the puff pastry sheet on a lightly floured surface.
Sprinkle the blue cheese, walnuts, and thyme evenly over the pastry.
Fold the pastry in half lengthwise and gently press together.
Cut into strips, twist each strip, and place on the baking sheet.
Brush with beaten egg for shine.
Bake for 15–18 minutes, until golden brown and puffed.