Preheat oven to 400ºF (200ºC). Line a baking sheets with parchment paper. Set aside.
Unroll pastry sheets. Cut each sheet into 9 squares.
Put the pulled pork in a bowl and add the BBQ sauce. Stir until combined.
Add 1-2 teaspoons of pulled pork and some cheese to the center of each pastry square. Fold two ends over and pinch or use a fork to crimp the ends together.
Put the egg in a bowl with a little water and beat it.