Preheat the oven to 400°F.
In a small bowl, combine the egg, mayonnaise, thyme, Dijon mustard, pepper, smoked paprika, horseradish, and Worcestershire sauce, then fold in the crabmeat.
Cook the chopped pancetta in a small skillet over medium heat until partially cooked but not crisp, then drain on paper towels.
Unfold one sheet of puff pastry and spread half the crab mixture to within 1/2 inch of the edges.
Sprinkle half of the pancetta and half of the cheese over the crab mixture.
Roll up the left and right sides toward the center, jelly-roll style, until the rolls meet in the middle.
Repeat the process with the remaining puff pastry and ingredients.
Refrigerate the rolls until firm enough to slice, about 30 minutes.
Cut each roll crosswise into 1/2-inch slices and place them 2 inches apart on parchment-lined baking sheets.
Bake for 15 to 20 minutes until golden and crisp.
Cool on the baking sheets for 2 minutes, then transfer to wire racks to cool completely.