Use a large baking tray. Preheat oven to 220°C. Peel and thinly slice red onions. Peel shallots and cut into quarters.
On a floured work surface, roll out each piece of pastry to a rectangle of about 30×15 cm. Cut 2 large rounds from each, using a 13–15 cm saucer as a guide; place on the baking tray.
Beat egg lightly and brush over the pastry, taking care not to let any trickle over the edges.
Divide the onions and shallots between the rounds, placing a mound in the centre of each one; leave a border of about 2 cm all round. Place 3 sprigs thyme on top of each mound.
Brush the onion mixture with a little olive oil; season to taste with salt and black pepper. Bake for 20 minutes or until pastries have puffed up and are golden brown.
To make the salad: place salad greens and walnuts in a serving bowl. Remove rind from stilton. Place cheese in a small bowl, add the cream and mash well. Beat in the walnut oil and sherry vinegar until smooth. Season with a good grinding of black pepper. Pour dressing over the salad; toss gently. Serve hot pastries with the salad.
Using a stout wooden spoon and a sturdy bowl makes it an easy job to mash the cheese and cream together when you are preparing the salad dressing.
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For a milder, sweeter blue cheese dressing, try blue brie, dolcelatte or creamy Blue Castello.