Preheat the oven to 200C/180C fan/400F/Gas 6. In a large bowl add the Worcestershire sauce, Tabasco sauce, thyme and sausage meat and season well with salt and freshly ground black pepper. Mix until thoroughly combined.
Roll the puff pastry out into a large rectangle, then cut into two long rectangles.
Place a layer of sausage meat mixture down the middle of each pastry rectangle, then brush each with beaten egg on one edge.
Fold the other side of the pastry over onto the egg-washed edge. Press down to seal and trim any excess. Cut each pastry roll into 8-10 small sausage rolls. Make two scores gently across the top of each roll.
Place the sausage rolls onto a baking tray and transfer to the oven to bake for 15-20 minutes, or until crisp and golden and the sausage meat is completely cooked through.