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Preheat oven to 375-400 degrees F (exact temperature depends on your oven).
Cut pastry sheets into squares (6" for main dish, 3" for appetizers).
Remove the skin from the sausages and divide them up into pieces roughly to equal the length of the rolls.
Slice up the onion into thin slices and saute in oil in a medium-hot pan with salt and pepper. As it begins to caramelize, add the worcestershire sauce and then the brown sugar. Once the onions are slightly brown and translucent, add the pepper jelly and set aside.
Spoon the spicy onion jam onto each pastry square and place sausage piece on top. Brush egg wash along the top and bottom ends; roll up the pastry and pinch along the seam. Take a sharp knife and cut slits along the top before brushing top with the egg wash. If you want, you can sprinkle a little seed over the top for decoration such as lightly crushed cumin or fennel seeds.
Place rolls on lightly greased baking paper and place on a baking tray before transferring to oven. Bake for about 25 minutes until golden brown and meat inside reaches internal temperature of 160 degrees.
Let cool for 5 minutes before serving.