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

Melt butter and olive oil in a skillet over medium heat. Caramelize the onions for about 20 minutes until golden brown.

Stir in minced garlic, thyme, and Worcestershire sauce. Season with salt and pepper, and cook for another 2 minutes. Remove from heat.

Cook the Italian sausage in another skillet over medium heat for 8-10 minutes until fully cooked. Drain excess fat and let cool.

Mix the sausage with the cooled onion mixture and fold in Gruyère cheese until combined.

Roll out the thawed puff pastry sheets and cut into rectangles (4 inches by 6 inches).

Place a spoonful of filling on one end of each pastry rectangle and fold over to seal.

Press edges firmly to seal, using a fork to crimp the edges.

Brush the tops with the beaten egg and arrange them on the baking tray. Bake for 20-25 minutes until golden brown.

Cool slightly on a wire rack before serving.