Heat oven to 375°F. Spray 2 cookie sheets with nonstick cooking spray. Melt margarine in large skillet over medium-high heat. Add onion; cook 1 minute. Reduce heat to medium-low. Add cabbage, apple and thyme; cook about 5 minutes or until cabbage is crisp-tender. Remove from heat; stir in bratwurst, cheese and mustard.
Separate 1 can of dough into 10 biscuits; place on sprayed cookie sheets. Press out each biscuit to form 4-inch round. Place about 3 tablespoons bratwurst mixture in center of each.
Press out remaining 10 biscuits to form 4 1/2-inch rounds; place over filling. Press edges with fork to seal. In small bowl, combine egg and water; beat well. Brush over tops of sandwiches. (Discard any remaining egg mixture.) Sprinkle with sesame seed.
Bake at 375°F. for 18 to 20 minutes or until golden brown.