Add the potato chunks to a pot of cold water and stir in 1 tsp salt. Bring to a boil then cook until the potatoes are fork tender. Drain in a colander and leave for a few minutes to allow steam to escape, then mash in the pot with butter, cheese, mustard and 1/4 tsp salt and pepper. Stir in the milk then leave to cool.
Add 1/2 tbsp olive oil to a large pan over medium heat. Once hot, add the chipolatas and fry until browned all over and just about cooked in the centre. Remove and place to one side, leaving the leftover fat in the pan. Slice into small chunks just before needed.
Top up with oil if needed, then add the onion and fry until soft and golden (10 minutes or so). Lower the heat if they start to brown too quickly. Melt in the butter then stir in the flour to create a roux. Gradually add in the stock, stirring as you go to prevent lumps from forming. Stir in the sliced chipolatas (alongside all the resting juices) Worcestershire sauce, salt and pepper. Simmer until the gravy is very thick, stirring somewhat frequently (5-10 minutes). Check for seasoning then leave to cool to one side.
Preheat the oven to 200C/400F.
Slice each sheet of pastry into 4 rectangles. Spread the mash on half of the rectangles, leaving a 1/2" gap around the edge. Top with the sausage and gravy, then place the empty rectangles on top. Gently press around the outside then crimp with a fork. Clean up with a knife then place on 1-2 trays with baking paper (or lightly grease yourself).
Brush with egg wash then slice a few steam holes in each one. Place in the oven for 15-20 minutes until deep golden and crisp. Leave to cool for a few minutes (the filling will be piping hot) then tuck in and enjoy!