Preheat oven to 400 F. Line a baking sheet with parchment paper or aluminum foil sprayed with oil.
On a floured surface, roll out one sheet of puff pastry to a rectangle, roughly 12 x 10 inches.
In a bowl, mix together cheeses with mustard and thyme.
Lay prosciutto slices evenly across pastry. Top with grated cheese mixture.
Starting at the short side, roll the pastry tightly into a log. Dab the end with water to help seal.
Wrap in plastic and chill for 10-20 minutes in the freezer to make slicing easier.
Slice the log into ½ inch slices and lay flat on baking sheet scooping up any grated cheese that falls out and sprinkling on top. I like to sprinkle fresh grated pepper on top.
Brush tops lightly with egg. Bake 15 minutes or until golden brown. Serve warm.