In a small bowl combine the egg with the mustard and sage or rosemary and season with salt and pepper.
Unroll the puff pastry onto its parchment on a rimmed baking sheet. Brush the egg mixture over the puff pastry all the way to the edges. Evenly dust half of the cheese over half of the puff pastry, on one side of the rectangle. Use the parchment to fold the side of the puff pastry without the cheese over the cheese dusted side so that the cheese is now inside the folded puff pastry, then peel off the top of the parchment and let it lay back on the baking sheet. Gently pinch the edges and press down lightly on the pastry to make it adhere to the cheese inside.
Slice the puff pastry into 12 strips. Brush the top of the strips with the remaining egg wash and sprinkle over the remaining cheese. Gently press down so the cheese adheres.
Place a piece of bacon on a flat surface, then place one of the strips on top of the bacon, allowing it to stretch very gently so that it is the same length as the piece of bacon. Twist the dough and bacon about 4 times to create a spiral, and place them onto the parchment on the baking sheet, leaving at least 1/2-inch between each straw.
Bake for 25 to 35 minutes, until the bacon is crisped and the puff pastry is golden brown and cooked through. Serve warm or at room temperature.
Cheddar Bacon Straw. Trade in the Parmesan for ½ cup finely grated good cheddar cheese.