Preheat your oven to 220C/200C fan/gas mark 7. Place a small frying pan on a medium heat and add the olive oil, chopped onion and sliced sage. Sauté for 12-15 minutes, then spoon into a large mixing bowl to cool.
When completely cold, squeeze the sausage meat from the skins directly into the bowl and season with a large pinch of pepper and a tiny pinch of salt. Add the breadcrumbs and, using your hands, mix everything together.
Lay your puff pastry out in front of you with a long edge facing you and run a knife horizontally along to cut it into two long rectangles, with one slightly wider than the other.
Place the narrower one on a greaseproof-lined baking sheet and spread the piccalilli down the middle, leaving a 1cm border along each edge for the pastry to join together.
Evenly shape the sausage mixture on top of the piccalilli and then top with two thirds of the grated cheddar. Gently brush a little egg wash along the pastry borders around the sausage meat.
Drape the second piece of puff pastry over the meat and, using a fork, press the edges together, all along the sides and ends, so you have a giant sausage roll.
Brush the top all over with the remaining egg wash, then sprinkle over the seeds and remaining cheddar.
Use a sharp knife to lightly and evenly score the pastry along the length of the sausage roll into six portions – make the end pieces slightly more generous to accommodate the pastry border.
Place in the oven and bake for 35-45 minutes, or until golden and cooked through. Leave to rest for 10 minutes and serve warm or later at room temperature.