Preheat your oven to 375°F (190°C). Line a baking sheet with parchment paper and set aside.

In a large bowl, combine the shredded chicken, mozzarella, cheddar, cream cheese, sour cream, onion, garlic, parsley, and Dijon mustard. Season with salt and pepper to taste. Mix until all ingredients are well combined.

Roll out the puff pastry on a lightly floured surface. Cut the pastry into rectangles or squares, depending on your desired size for the jalousies.

Place a generous spoonful of the chicken and cheese mixture in the center of each pastry square. Fold the pastry over to create a pocket or turnover, pressing the edges to seal. You can use a fork to crimp the edges for a decorative look.

Beat the egg and brush it over the top of each filled pastry for a golden finish.

Arrange the prepared jalousies on the baking sheet and bake for 20-25 minutes, or until golden brown and crispy.

Remove from the oven and let them cool for a few minutes before serving.