Roll out puff pastry into a 12-by- 16-inch rectangle. Sprinkle with cheese, bacon and cayenne pepper. Roll up the pastry just to the center, then repeat with the opposite side. Brush with egg and press together to adhere. Cut crosswise into 1/2-inch-thick slices; place cut side down on a baking sheet and brush with egg. Bake at 400 degrees until golden, about 15 minutes.