Preheat your oven to 425°F (220°C).

In a large skillet, heat a splash of oil over medium heat. Add the sausage links, breaking them apart as they cook, for about 5 minutes until browned. Push the sausage to the side, pour in the beaten eggs, and scramble gently until set, approximately 3-4 minutes. Season with black pepper, fennel seeds, and salt, then stir in cheddar cheese until melted. Set aside to cool.

On a lightly floured surface, roll out puff pastry sheets to about 1/8 inch thick. Cut into 8-12 square pieces, each approximately 4 inches wide.

Place a generous spoonful of the filling in the center of each square. Fold corners over to form a pocket, pinching edges to seal.

Place hand pies on a parchment-lined baking sheet. Brush tops with whisked separated egg yolk, sprinkle with cheese, black pepper, and fennel seeds. Bake for 18-20 minutes until puffed and golden brown.

After baking, cool slightly on the baking sheet for about 5 minutes, then transfer to a cooling rack.