Preheat the oven to 400 degrees F. Grease a large baking sheet and set aside.
In a large, heavy skillet, melt the butter over medium-high heat. Add the onions and saute until caramelized, 12 to 15 minutes, stirring occasionally. Add the wine and cook until dry, 2 minutes. Add the thyme, salt, and pepper, stir well, and remove from the heat. Add the walnuts and prosciutto and stir well to combine. Let cool.
On a lightly floured surface, 1 at a time, roll out the pastry sheets to about 12 by 12 inches. Cut each into an 11-inch round.
Place 1 round on the prepared sheet. Brush a 1/2-inch border of egg wash around the outside of the round. Spread the onion mixture evenly across the round. Top with blue cheese. Top with the remaining pastry round. Press down on the edges of the pastry to close, and crimp with a fork to seal. Paint the top pastry with egg wash and cut small slits in the center to vent. Bake until golden and puffed, 20 to 25 minutes.
Remove from the oven and cut into 4 wedges. Divide the lettuces and tart among 4 plates and serve.
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