Preheat the oven to 180ºC/350ºF/gas 4. Heat the olive oil in a saucepan and add the onions. Cook gently for about 20 minutes until soft and golden brown. Add the sage leaves, cook for a couple of minutes more and then spread out on a plate to cool.
With a sharp knife, slit the skins of the sausages and pop the meat out. Put it in a mixing bowl with the cooled sage and onion mix and the breadcrumbs. Add a good grating of nutmeg, then scrunch well with your clean hands to mix together.
On a floured work surface, roll the pastry out into a big rectangle as thick as a pound coin and cut it lengthways into two long, even rectangles. Roll the mixture into sausage shapes with your hands and lay along the centre of each rectangle.
Mix the egg and milk and brush the pastry with the mixture, then fold one side of the pastry over, wrapping the filling inside. Press down with your fingers or the edge of a spoon to seal the join.
Cut the long rolls into the sizes you want and space them out on a baking tray. Brush with the rest of the egg wash and bake in the preheated oven for 25 minutes or until puffed, golden and cooked through. Serve with piccalilli and a cress salad.
Tip: Lamb or beef sausages work just as well in this recipe if you don’t fancy pork.