1) Preheat the oven to 190 degrees C and preheat the griddle.
2) Mix the ground beef, onion, steak seasoning, and seasoning sauce together (using your hands is the most efficient way to do this). Form into 5 small flat patties. Grill the hamburgers to medium-well (you may also pan-fry the patties). Remove from the grill and top each burger with a slice of cheese of your choice.
3) Roll the puff pastry sheet to flatten slightly. Cut it into 5 relatively even rectangles.
4) Cover each burger with a piece of puff pastry and wrap it around the bottom, pinching all of the edges to seal. Place on an un-greased baking sheet, pinched side down.
5) Whisk together the egg yolk and 1 teaspoon water to make an egg wash. Brush each wrapped pastry with the egg wash. Bake for about 15 minutes, until the puff pastry is nice and brown.
Note: Frozen puff pastry dough should sit at room temperature for about 20 minutes.