Preheat the oven to 375°F. Line a rimmed baking sheet with parchment paper.
On a cutting board, lay out your puff pastry. Brush the sheet with egg and top with cheese and jalapeños. Carefully fold the puff in half and press down firmly but gently to seal. Cut into 12 even strips. Take a slice of bacon and one of the cheese twists and twist together and place it on the prepared baking sheet.
Bake the twists until golden brown and bacon is cooked through, about 35-45 minutes. Remove and let cool slightly before enjoying warm or with soft boiled eggs, if desired.
