Preheat oven to 400 degrees Fahrenheit. Line 2 baking sheets with parchment paper and set aside.
Lightly flour your work surface, then take out the sheets of puff pastry.
Gently unfold puff pastry sheets and cut on the fold lines, then cut again across the middle, perpendicular to your other cuts so that you have a total of 12 pieces of puff pastry.
Transfer to the prepared baking sheets.
Using a fork, poke holes roughly 1 inch from the edge of each square, creating a rectangle inside of each (this will help keep the puff pastry from puffing up too much in the middle).
In a small bowl, mix together the honey mustard and mayonnaise. Spread about ½ Tablespoon of the mixture inside the rectangles on each square.
Sprinkle about 2 Tablespoons of shredded cheese in the rectangles on each square.
Sprinkle diced Canadian Bacon over that.
In a small bowl, whisk together the egg and water to make an egg wash. Brush over the edges of the squares.
Bake for 20 minutes, or until golden brown, rotating sheets halfway through cook time.
Leftovers can be stored in an airtight container in the refrigerator and reheated in a toaster oven.