Preheat the oven to 400 degrees F. Line a baking sheet with parchment paper.
On a lightly floured work surface, roll the puff pastry into a large rectangle, 1/4-inch-thick.
Rotate the pastry so that the longer side is facing you. Spread the mustard evenly over the pastry. Lay the bacon slices on the pastry, long side facing you, leaving a small gap in between each slice. Trim any messy edges that spill over the puff pastry, to neaten the rectangle into a straighter edge. Sprinkle the Cheddar over the bacon. Cut in between each slice to form individual pastry-bacon strips.
Carefully twist each strip 4 or 5 times, so it looks like a curly straw. Place on the prepared baking sheet and brush with beaten egg. Chill in the fridge for 15 to 20 minutes.
Remove the twists from the fridge and brush a second time with beaten egg. Bake until the pastry is well risen and golden-brown, 15 to 20 minutes. Set aside to cool.
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