Preheat the oven to 400°F/204°C. Peel and cut up the butternut squash into a fine dice. You should end up with about 3 cups of diced squash. Toss the diced squash with 2 tablespoons of olive oil and season with kosher salt and pepper. Spread the squash out on a parchment lined baking sheet.
Roast the squash for 35 to 40 minutes until tender. Half-way through, take out the pan and gently toss the squash to promote even browning.
While the squash is roasting, heat a skillet over medium heat and add the remaining 1 tablespoon of olive oil along with the butter. Add the finely diced onion and sauté slowly until the onion is soft and translucent. When the onion is tender, add the minced garlic, chopped thyme, and a good pinch of kosher salt and pepper. Cook for another minute then remove from the heat and transfer to a mixing bowl.
When the squash is done, remove the pan from the oven and allow the squash to cool down before adding to the onion mixture. Toss the cooled squash and the onion mixture together and add the shredded Gruyère cheese. Set the filling aside.
To assemble the pasties, preheat the oven to 400°F / 204°C. Take out 1 sheet of puff pastry and unroll onto a lightly floured counter. Lightly dust the puff pastry with flour and gently roll it into a square slightly bigger than the preformed sheet. The square should be about 16 inches wide. Cut the pastry into 16 squares, about 4 inches by 4 inches.
Whisk the egg and the water together to create an egg wash. Spoon about 2 tablespoons of the filling onto each square. Brush down two sides of each square with the egg wash and then fold the square over to make a triangle. Press down to seal the edges, crimping with a fork to create a decorative seal. Transfer the pasties to parchment lined baking sheets, leaving room between them.
Brush the tops of the pasties with the egg wash and sprinkle with the extra chopped fresh thyme and the Maldon sea salt flakes. Bake for 25 to 30 minutes until the pasties are puffed and golden brown. While the first batch is baking, repeat the process with the remaining sheet of puff pastry and the remaining filling.
When the pasties are done, remove from the oven and slide the parchment paper onto the counter to let the pasties cool slightly before serving. Serve while still warm and enjoy!