In a medium saucepan, stir together the figs, red wine, honey, cinnamon stick and peppercorns. Bring to a simmer, then cook until the figs are softened, about 10 minutes. Using a slotted spoon, transfer the figs to a small bowl; let stand until cool enough to handle. Heat the remaining liquid over medium heat, stir in the brown sugar and simmer until thickened, about 5 minutes.
Preheat the oven to 400 degrees . Line a baking sheet with parchment paper. Unfold each of the pastry sheets onto a lightly floured surface. Using a 2-inch round cutter, cut out 40 rounds; place 1 inch apart on the prepared baking sheet.
In a small bowl, beat the egg yolks with 2 tablespoons water. Brush some of the fig syrup on each pastry round, reserving the rest for serving. Drop 1/2 teaspoon blue cheese onto each round and top with a fig quarter; fold the edges of the round over the fig and gently pinch together. Brush with the egg wash and bake until puffed and golden, 12 to 15 minutes. Serve warm with the reserved fig syrup for dipping.