Preheat your oven to 400°F (200°C) and line a baking sheet with parchment paper.
Roll out the puff pastry on a lightly floured surface to smooth out any creases.
In a bowl, mix together the cream cheese, cheddar cheese, chopped jalapeños, and crumbled bacon until well combined.
Spread the cream cheese mixture evenly over the puff pastry, leaving a small border around the edges.
Starting from one side, carefully roll the puff pastry into a tight log.
Slice the log into 1/2-inch thick rounds and place them on the prepared baking sheet.
Brush the tops of the pinwheels with the beaten egg to give them a golden finish.
Bake in the preheated oven for 15-18 minutes, or until the pinwheels are golden brown and puffed.
Allow them to cool slightly before serving.
Variations & Tips
For a vegetarian version, simply omit the bacon and add some chopped green onions or bell peppers for extra flavor. If you like it extra spicy, leave some of the jalapeño seeds in the mix. You can also experiment with different cheeses, like pepper jack or mozzarella, to change up the flavor profile. For a touch of sweetness, try adding a tablespoon of honey to the cream cheese mixture.