For the pork wellington: Preheat the oven to 400 degrees F.
In a large skillet, heat the canola oil over medium-high heat. Add the onions, season with salt and pepper and cook until the onions are soft and translucent, about 5 minutes. Remove from the heat and stir in the thyme leaves.
Break up the cornbread in a bowl, add the onion-thyme mixture and stir to combine. Set aside.
Meanwhile, in a large skillet, heat the olive oil over medium-high heat. Sprinkle the pork with salt and pepper. Sear the pork, turning as needed, until golden brown all around, 3 to 4 minutes. Transfer to a plate and let cool completely. Reserve the skillet to make the sauce.
Spray a baking sheet with nonstick cooking spray.
On a cutting board, lay out the ham slices, overlapping them to create a rectangle about 12 inches long. Rub the tenderloin completely with the mustard and place over the ham slices. Wrap the ham over the tenderloin to seal in the mustard.
Lay out the puff pastry sheet on a floured surface and roll out to a rectangle with the long sides 2 inches longer than the pork tenderloin. Spread the cornbread mixture around the pastry sheet, leaving about a 1-inch border all the way around. Place the wrapped tenderloin along one of the long sides of the pastry. Roll the tenderloin up in the pastry, making sure it's completely wrapped. Fold in the pastry ends, brush with the beaten egg and tuck in. Place the wrapped pork on the prepared baking sheet with the seam on the bottom and brush liberally with the beaten egg.
Bake until the crust is golden brown and the tenderloin registers an internal temperature of 140 degrees F on an instant-read thermometer, 25 to 35 minutes. Let rest for 10 minutes, then slice and serve.
For the cherry port sauce: In the same skillet you seared the pork, melt 1 tablespoon of the butter over medium heat, add the shallot and cook, stirring, for 30 seconds. Add the cherries, broth, port and honey. Increase the heat to high and simmer, stirring often, until the sauce is reduced to a glaze, about 10 minutes. Whisk in the remaining 1 tablespoon butter. Season with salt and pepper.