Heat oven to 375 degrees F. Place olive oil in a small pan over MEDIUM heat. Add onions and brown for 10-15 minutes, stirring frequently. Allow the onions to cool.
In a large bowl, combine beef, cooled onions, bread crumbs, jalapeños, cheese, salt and pepper. Mix gently but thoroughly as to not overwork the meat.
Lay one square of pastry on a board or work surface. Use a third of the beef mixture to form a log down the center. Fold the pastry over the beef mixture on one side, then brush along the edge with egg mixture to create a “glue”.
Continue to fold the roll over so it’s fully encased in pastry, and the edges line up on the egg glue line, then press the pastry lightly to ensure a good seal. Repeat steps with each pastry square.
Flip each beef roll so it’s seam side down, then cut into 6-8 pieces. Place the pieces onto a sheet pan and bake for 30-35 minutes or until the pastry is golden brown. You may need to rotate the tray during baking to ensure even browning. Allow to cool slightly before serving.