In a medium bowl, combine Gruyère cheese, sharp white cheddar, cream cheese, Dijon mustard, one egg yolk, chopped chives, black pepper, salt, and optional cayenne pepper. Mix until smooth and creamy.

Dust your work surface with all-purpose flour. Unroll the puff pastry into a rectangle (10x14 inches) and spread half of the cheese filling over it, leaving a ½-inch border.

Roll the pastry tightly from one long edge into a log shape, sealing the seam with water or reserved egg yolk. Repeat with the second pastry.

Wrap each log in plastic wrap and chill in the refrigerator for at least 30 minutes to 3 hours.

After chilling, slice the logs into ½-inch rounds and arrange on a parchment-lined baking sheet. Brush with egg wash.

Preheat oven to 400°F (200°C). Bake for 15-20 minutes until golden brown and cheese is bubbling.

Let the pinwheels cool briefly before serving warm. Store leftovers in an airtight container.