Preheat oven to 400℉. Line a baking sheet with parchment paper.
Spread out both thawed pastry sheets on a lightly floured surface. Using a pastry cutter (or a pizza cutter), cut each pastry sheet into 4 squares (8 total).
In a small bowl, mix together mustard and mayonnaise. Spread a small amount of the mustard mixture into the center of each square.
Layer a slice of swiss cheese and two slices of folded ham diagonally across each square.
In a separate small bowl, whisk together egg and water to make an egg wash. Brush the egg wash around on the edges of each puff pastry square.
Taking opposite corners that don’t have the cheese and ham, fold one over the other, making a “pocket” with two open ends. Press the puff pastry together slightly to make sure it is secured.
Brush the remaining egg wash on top of the puff pastries, then sprinkle with parmesan cheese (if desired).
Place them on the lined baking sheet (you may need to cook them in two batches), and bake for 15-20 minutes until the pastry is golden and cooked through.
Serve warm.
Notes
You can definitely use phyllo dough in this recipe. However, the texture will be quite different, and you may need to adjust the cooking time.