Heat oil and fry the onion until softened. Place onion, coriander, sausage meat and cheese in bowl. Season with salt and pepper.
Roll pastry out to measure 28x24cm. Cut the pastry in half lengthways. Divide the sausage meat in half and spoon down the centre of each pastry rectangle. Fold the pastry and join the edges together, sealing with cold water.
Cut each long sausage into 7 pieces.
Place sausage rolls on a baking sheet and brush with beaten egg. Bake for 15-20 minutes until golden and well risen.