Thaw puff pastry according to package directions.
While pastry is thawing, thinly slice onions. In a skillet, put olive oil and 2 tablespoons butter in to melt. When hot, gently drop in onion slices and over medium heat, gently cook onions, stirring occasionally, until caramelized, about 30 minutes. Let cool.
In another skillet, melt the remaining butter and add in the fruit. Cook until the fruit begins to caramelize, but don't let it get to a mushy stage.
In a medium bowl, combine fruit and onions. Gently mix in toasted walnuts, honey, balsamic vinegar, salt, pepper, cheese and thyme. Do not overmix. Taste and adjust seasonings, honey or vinegar to desired taste.
On a floured surface, roll out each sheet of puff pastry to a 12-inch square. Cut each square into 5 2-1/4-inch columns, and then each column into 5 2-1/4-inch squares. Keep pastry covered by a kitchen towel.
Put a sheet of parchment paper on each of 2 large cookie sheets, Gently beat the egg and water in a small bowl. On each pastry square, put 2 teaspoons of filling in the center and spread in a log diagonally on the square. With a pastry brush, brush the egg mixture on 2 opposite corners of the square. Gently fold one corner over the other and pinch together to seal. Assemble all envelopes and then gently brush tops and open areas of pastry with egg wash. Put the cookie sheets into the refrigerator to chill for 20-30 minutes.
Preheat oven to 400. Bake cookie sheets for 15 minutes until golden.
NOTE: You may need to reverse the sheets in the oven for even browning. Alternatively, you can make half the batch with Blue Cheese and half with goat cheese.