Heat oven to 375°F. In small bowl, mix cream cheese and Gorgonzola cheese with fork until blended.
Unroll dough; separate or cut into 2 rectangles, each about 11 inches long. Place 1 rectangle on cutting board; if using crescent dough, press perforations together to seal. Spread half of the cheese mixture over dough to within 1/2 inch of long sides; sprinkle half of the pecans evenly over cheese. Starting at 1 long side, roll up; press seam to seal. Cut roll into 16 (about 3/4-inch) slices with serrated knife; place cut sides down on ungreased large cookie sheet. Repeat with remaining dough, cheese and pecans.
Bake 14 to 17 minutes or until golden brown.
Meanwhile, in 8-inch nonstick skillet, heat oil over medium heat. Add onion; cook 3 to 5 minutes, stirring frequently, until soft and lightly brown. Remove from heat. Stir in vinegar, preserves (breaking up large pieces of fruit if necessary) and thyme; set aside.
After removing rolls from oven, immediately press back of a teaspoon into center of each roll to make small indentation. Spoon slightly less than 1/2 teaspoon onion jam into each indentation. Remove from cookie sheet. Serve warm.