Put the pickled onions, ’nduja, sausage meat, breadcrumbs and cheese in a large bowl, season with salt and pepper and mix really well with your hands.
Unroll the puff pastry and cut it in half lengthways to create two 12cm x 34cm rectangles.
Put the sausage filling in a large disposable piping bag and cut off the tip so the hole is about 3cm in diameter. Pipe half the filling along the middle of one pastry rectangle. Brush the pastry edges with a little of the beaten egg and fold both edges up over the filling to enclose it, overlapping them slightly to seal. Repeat with the other piece of pastry and remaining filling.
Put both sausage rolls in the freezer for 20 minutes to firm up. Meanwhile, heat the oven to 180°C fan/gas 6 and line a baking tray with baking paper.
Using a very sharp knife, trim the ends of each roll, then cut each into 6 even size pieces. Put them seam-side down on the lined baking tray. Brush the tops with the remaining egg and sprinkle with fennel seeds. Bake for 30 minutes or until golden and crisp. Leave the sausage rolls to cool for a few minutes before eating.
