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Preheat your oven to 400°F (200°C) and line a baking sheet with parchment paper.
Lightly flour your work surface and roll out the puff pastry sheet into a rectangle, about ¼-inch thick.
Sprinkle the crumbled blue cheese, chopped walnuts, and thyme leaves evenly over the puff pastry.
Starting from one long side, tightly roll the puff pastry into a log.
Using a sharp knife, cut the log into ½-inch thick slices.
Place the slices cut-side down on the prepared baking sheet, leaving space between each twirl.
Brush the tops with the beaten egg wash.
Bake for 15-18 minutes, or until the pastry is golden brown and puffed.
Let the twirls cool slightly before serving.