Preheat the oven to 200℃. Line a baking tray with greaseproof paper.
Unroll the pastry and brush with egg, spread the Marmite over the pastry and top with grated cheese. Roll it up tightly horizontally.
Refrigerate for 15 minutes, cut into 12 rounds and place onto the lined baking tray.
Place into the preheated oven and turn the temperature down to 180℃ for 20-25 minutes. Bake the pinwheels until the pastry is golden and cooked through.