Preheat the oven to 400 degrees F.
Beat the egg and water in a small bowl with a fork or whisk.
Cook the bacon in a 10-inch skillet over medium-high heat until crisp. Remove the bacon from the skillet and drain on paper towels. Crumble the bacon.
Pour off all but 1 tablespoon of the drippings. Add the mushrooms, onions, garlic, and thyme, and cook until the mushrooms are tender and the liquid evaporates. Remove the skillet from the heat. Return the bacon to the skillet. Add the Swiss cheese and cream cheese and stir until the cheeses melt.
Unfold 1 pastry sheet on a lightly floured surface. Roll the pastry sheet into a 12-inch square. Cut into 16 3-inch squares. Repeat with the remaining pastry sheet, making 32 in all.
Place 1 tablespoon of the mushroom mixture in the center of each square. Brush the edges of the squares with the egg mixture. Fold the pastry over the filling to form triangles. Press the edges to seal. Place the filled pastries onto baking sheets. Brush with the egg mixture.
Bake until the pastries are golden brown, 20 minutes. Remove the pastries from the baking sheets and let cool on wire racks for 10 minutes.