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Heat a large skillet over medium heat. Add sausage; cook, breaking meat apart with a wooden spoon, until browned, about 5 minutes. Add apple; cook and stir until starting to soften, 2 to 3 minutes. Season with salt. Let filling stand until cooled, at least 15 minutes. Beat egg and egg yolk together in a small bowl to make egg wash. Preheat oven to 450 degrees F (230 degrees C). Line 2 baking sheets with parchment paper. Unroll pastries onto a lightly floured work surface. Spread and gently press 1 tablespoon Parmesan cheese and 1/2 teaspoon thyme over each pastry. Slice each pastry crosswise into 4 wedges. Add a generous 1/4 cup filling to each wedge. Brush edges with egg wash. Fold dough over the filling and seal the pies. Crimp edges with a fork and trim any excess dough. Arrange pies on the prepared baking sheets. Brush with any remaining egg wash; sprinkle the remaining 2 tablespoons Parmesan cheese and 1 teaspoon thyme over pies. Season with pepper. Bake in the preheated oven until golden brown, rotating pans halfway through, 12 to 15 minutes. Let cool before serving, about 10 minutes.