Preheat the oven to 350º F. Line two baking trays with parchment paper and set aside. In a medium mixing bowl, stir together procuitto, Boursin cheese, thyme and parmesan cheese. Set aside.
Line 2 baking sheets with parchment paper. Place 1 sheet of puff pasty on each baking sheet and cut each sheet into 9 individual squares (about 3-inches by 3-inches) For each square, use a paring knife to cut from each corner toward the center, stopping 1-inch from the center. You will have a 1-inch circle in the center of each square, and all of the corners will be cut in half. Spoon 1 teaspoon of pesto in the center of each square and spread it into a 1-inch circle. For each square, lift one half of a corner and fold it toward the center of the square, gently pushing the point into the pesto. Continuing around the square, fold 3 more corner halves toward the center of the square, and gently press all 4 tips together to form a pinwheel shape. Place 1/2 teaspoon prosciutto herbed cheese mixture in the center of each pinwheel where the tips meet. Brush the dough with the beaten egg. Bake until golden brown (approximately 20 minutes). Serve warm or room temperature.