Melt the butter in a large skillet over medium-low heat. Add the onion and kosher salt. Cook for 20 to 25 minutes, stirring occasionally and reducing the heat if necessary, until the onion is very soft, deeply golden, and jammy.

Stir the balsamic vinegar into the caramelized onion and cook for 1 minute. Transfer to a plate and let cool completely.

Unfold the cold puff pastry on a lightly floured work surface. Gently roll it just enough to smooth the seams and create an even rectangle.

Spread the cooled caramelized onion in a thin, even layer over the pastry, leaving a 1/2-inch border along one long edge. Sprinkle evenly with the cheddar, finely diced apple, thyme, and black pepper.

Starting from the opposite long edge, roll the pastry snugly into a log. Brush the exposed 1/2-inch border lightly with beaten egg and press gently to seal.

Transfer the log to the refrigerator and chill for 15 to 20 minutes. Meanwhile, preheat the oven to 400°F and line a sheet pan with parchment paper.

Using a sharp knife, cut the chilled log into approximately 16 pinwheels, each about 3/4-inch thick. Arrange cut-side up on the prepared pan with space between them.

Brush the exposed pastry lightly with beaten egg. Bake for 16 to 20 minutes, until puffed, deeply golden, and crisp on the bottoms.

Whisk together the honey, Dijon mustard, and warm water. Let the pinwheels cool for about 5 minutes, then drizzle lightly with the honey-Dijon mixture and serve warm.