Preheat oven (electric cooker: 200 °C/circulating air: 180 °C/gas: see manufacturer). Line a baking tray with baking paper. Unroll the puff pastry and cut into 8 rectangles (approx. 10 x 12 cm). Place 1 slice of bacon in the middle of each rectangle. Crumble the cheese and spread on the bacon slices. Fold 2 opposite dough corners one after the other towards the middle so that they overlap slightly, then press them together.
Place the dumplings on the baking tray. Whisk the egg and brush the dough with it. Sprinkle with pepper. Bake in a hot oven for about 15 minutes until golden brown.