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Heat the oven to 200C/180C fan/gas 6 or if using an air-fryer, heat to 180C for 4 mins. Unravel the pastry on the sheet of baking parchment it comes with, and cut into six squares. Mix the soft cheese with the mustard, if using, and a good grinding of black pepper. Divide between the middles of the pastry squares, and smooth over in a diagonal line from one corner to the opposite side.
Lay a bacon rasher over the soft cheese, then scatter over the cheese. Brush the two exposed corners of pastry with beaten egg, and fold over the top of the filling to join together. Brush the tops with more egg, then slide the baking parchment on to a baking sheet and bake for 15-20 mins until the cheese has melted and the pastry is golden. Or, if using an air-fryer, put the turnovers in the air-fryer basket and cook for 10-12 mins until the cheese has melted and the pastry is golden. You may need to do this in two batches.
Transfer to a cooling rack for 5-10 mins before serving warm. Will keep chilled in an airtight container for two-three days.