Combine sausage meat, grated cheddar cheese, Branston pickle, Dijon mustard, chopped parsley and chive, fresh thyme leaves, salt and pepper.
Roll out the puff pastry.
Cut the pastry into desired sizes.
Place the filling onto the pastry.
Roll up the sausage rolls.
Brush with beaten egg.
Sprinkle with nigella, fennel and sesame seeds.
Bake until golden brown and cooked through.
