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*Frozen puff pastry dough should sit at room temperature for about 20 minutes.

Preheat the oven to 375 degrees F and preheat the grill.

Mix the ground beef, onion, steak seasoning and seasoning sauce (using your hands is the most efficient way to do this). Form into 5 small flat patties. Grill the hamburgers to medium-well. (You may also pan-fry the patties.) Remove from the grill and top each burger with a slice of cheese of your choice.

Roll the puff pastry sheet to flatten slightly. Cut it into 5 relatively even rectangles.

Cover each burger with a piece of puff pastry and wrap it around the bottom, pinching all of the edges to seal. Place on an un-greased baking sheet, pinched side down. 

Whisk together the egg yolk and 1 teaspoon water to make an egg wash. Brush each wrapped pastry with the egg wash. Bake for about 15 minutes, until the puff pastry is nice and brown.