Preheat oven to 400 degrees F. Line an extra-large, rimmed baking sheet with parchment paper.
Heat a cast iron skillet or frying pan over medium-high heat. Add the sausages and brown on all sides, about 10 minutes total until cooked through. Transfer to a paper towel lined plate. When cool enough to handle, cut sausages into 1/4-inch slices. Set aside.
Meanwhile, place sweet potato chunks into a medium saucepan. Cover sweet potatoes with water by 1 inch. Bring water to a boil, lower heat to medium and cook until sweet potatoes are fork tender, about 7minutes, stirring occasionally.
Drain the sweet potatoes with a strainer and transfer to a mixing bowl.
Add 2 tablespoons milk, butter, honey, and orange juice. Using a handheld mixer or potato masher, blend mixture until well combined.
Stir in green onion and thyme, vegetables, if desired, and season to taste with salt and pepper. Set aside.
On a lightly floured surface, roll the first puff pastry sheet to an 11-inch square and the second into a 12-inch square. Cut each into 9 even squares.
Divide 1/2 cup of cheese amount the 9 smaller squares from the first puff pastry sheet, leaving 1/4-inch border. Transfer to prepared baking sheet.
Top with 2-3 slices of sausage and 2 tablespoons of sweet potato mixture (can be in either order).
Brush pastry edges with egg wash. Lay the remaining 9 slightly larger squares over the filling and seal the edges by crimping with the back of a fork.
Brush tops of hand pies with egg wash. Cut 2-3 small slits on top with a sharp knife.
Divide the remaining cup of cheese on top of the hand pies (optional). Sprinkle with freshly grated pepper.
Place hand pies in oven and bake for 20-23 minutes until puffed and golden brown.
Let pies cool 5 minutes or so before serving. Garnish with extra thyme and enjoy!