1: Put the sausage meat, nduja, chopped pickled onions, breadcrumbs and cheese cubes into a large bowl, season with salt and pepper and mix really well with your hands. Unravel the puff pastry and cut it in half lengthways, to give two 12 x 34cm rectangles.
2: Place the sausage filling in a large disposable piping bag and cut off the tip so that the opening is around 3cm in diameter. Pipe half the filling along the middle of one pastry rectangle.
3: Brush the pastry edges with beaten egg and fold both edges up over the filling to enclose it, overlapping them slightly. Repeat with the other piece of pastry and remaining filling.
4: Place both sausage rolls in the freezer for 20 minutes to firm up. Meanwhile, preheat the oven to 200°C/180°C Fan/Gas 6 and line a baking tray with baking paper.
5: Using a very sharp knife, trim the ends of each roll and then cut each into 6 even-sized pieces. Place, seam side down, on the lined baking tray. Brush the tops with egg glaze and sprinkle with fennel seeds. Bake in the oven for 30 minutes or until golden and crisp.
6: Transfer the sausage rolls to a wire rack and leave to cool slightly for a few minutes before eating.