Preheat the oven to 400 degrees F. Line a large baking sheet with parchment paper or a silpat mat.
In a medium skillet, heat the oil over medium high heat. Add the onion and apple and sauté until softened, about 5 minutes. Set aside to cool.
Cut each sheet of Puff Pastry into 4 equal squares. Spoon a tablespoon of the honey dijon mustard into the center of each square and spread to cover the pastry, leaving about ½ inch along each side. Spoon about 2 tablespoons of the apple/onion mixture onto each square. Top with sausage slices and Gouda cheese. Roll out each of the remaining Puff Pastry squares so they're a little bit larger (or just use your fingers to press and stretch them). Place the second piece over the top of each with filling. Use a fork to seal the edges to form "pockets." Brush each square with egg wash and use a knife to poke a few slits in the top for steam to escape while baking.
Bake for 20 minutes, or until golden brown. Serve immediately.