Heat oven to 425°F. Spray 13x9-inch (3-quart) glass baking dish with cooking spray.
In small skillet, heat oil over medium heat. Cook onion in oil about 5 minutes, stirring occasionally, until softened. In medium bowl, toss beef and onion.
Separate each can of dough into 10 biscuits; flatten each biscuit into thin round. Divide beef mixture evenly among biscuits. Fold edges up and over filling; pinch to seal. Place biscuits, seam sides down, in baking dish.
In small bowl, beat egg and water. Lightly brush tops of biscuits with egg mixture.
Bake 15 to 20 minutes or until golden brown.
Meanwhile, in 1-quart saucepan, melt butter over medium heat. Stir in flour with whisk. Gradually add milk, stirring constantly. Cook and stir until thickened. Remove from heat; stir in cheese. Season with salt and pepper.
Serve biscuits warm with cheese sauce.