Preheat the oven to 400 degrees F (200 degrees C).
Roll out the puff pastry sheets to 1/4 inch thickness on a lightly floured surface. Cut into 3 inch squares. Press the squares into the cups of two 12 cup muffin tins to make pastry cups.
In a medium bowl, whisk together the egg, milk, flour, pepper and nutmeg. Stir in cheese until evenly blended. Distribute the mixture evenly amongst the pastry cups.
Bake for 12 to 15 minutes in the preheated oven, until the pastry is golden brown and the filling has puffed up. Cool in the pans until you can touch them before removing. Serve warm or at room temperature.
