Preheat oven to 200C/400F. On a floured surface roll out the puff pastry into a ¼ inch thick rectangle or leave it as it is if using ready-rolled pastry. Then cut into 6 equal size squares. Lay down slices of bacon diagonally (they will need to be cut down to size, see photos for reference), top with a slice of cheese or 2 tbsp of grated cheese.
Bring one corner of the puff pastry over and brush the tip of it with a beaten egg, then fold the opposite corner, so it overlaps, press down with a fork to seal. Arrange on a parchment lined baking sheet 2 inches apart, brush the top of the pastries with a beaten egg and sprinkle with sesame seeds. Bake for 12-15 minutes until golden.
While the turnovers are baking, prepare the honey mustard sauce by mixing the honey, mustard, mayonnaise and white wine vinegar in small bowl. Serve with the turnovers.
