Peel onions and cut them into thin rings. Wash parsley and dab dry. Pluck leaves from the stalks. Crumble the cheese roughly. Mix cheese, onion rings, parsley leaves and oil. Season with pepper and oregano. Separate egg.
Whisk egg yolk and milk. Fill puff pastry slices with some sheep's cheese mixture. Spread the edges with egg white and roll up. Brush rolls with whisked egg yolk and place on a baking tray lined with baking paper. Bake in a preheated oven (electric: 200 °C/ gas: level 3) for about 10 minutes. Served with coleslaw (fresh food counter or refrigerated shelf)