Preheat oven to 220°C (430°F) and line a large baking tray with baking paper.
Put the onion, cheese, and bacon into a bowl, add the egg and then mix these ingredients together well.
Lay the pastry sheets on a bench and divide the mixture between the two pastry sheets. Spread the mixture out over the pastry sheets leaving about 1 inch (or 2.5 cm) at the top.
Moisten top edge of pastry sheet with water then carefully roll the pastry up from the bottom.
Cut the rolled pastry into ½ inch or 1.25 cm thick pieces.
Lay the pin wheels down on the prepared tray and bake for about 15 minutes.
