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Heat the olive oil in a large frypan or saucepan, and gently cook the onion. Add the finely diced veggies and cook together, along with the thyme. When softened and looking totally edible transfer the veggies into a large bowl, season well with salt and pepper, and add the cayenne and seeded mustard. Stir in the grated cheese.
Preheat the oven to 200ºC. Roll out a defrosted pastry sheet and run a knife down the centre to create 2 long rectangles. Run a line of veggie mix down one side, and dab the edge with the beaten egg before folding the pastry over the veggies. Press the edge firmly and roll the whole thing so the seam is underneath. Slice the roll into the size pieces you like and transfer them to a lightly greased baking tray. Using a pastry brush, go over the top with more of the egg mix and sprinkle seeds on top.
Repeat with the remaining pastry and filling, and bake for 20-25 minutes (200ºC fan forced).