Defrost the puff pastry slices. Brush with cold water, stack on top of each other and roll out into a square (36×36). Divide pastry sheet into small squares (12×12), brush with olive oil and fold corners over almost to center, press smooth. Cut feta cheese into cubes, chop thyme, drain peppers Layer puff pastry pockets with 1 to 2 peppers each and sprinkle with feta cheese and thyme. Brush with whisked egg yolk. Bake in the preheated oven at 225 °C for 15 to
20 minutes.