Combine anchovies and next 4 ingredients; mix well, and set aside.
Roll each pastry sheet into a 12-inch square on a lightly floured surface. Cut pastry into 72 (2-inch) squares. For each square, cut a slit from each corner to within 1/4 inch of center.
Spoon 1/4 teaspoon anchovy mixture into center of each square. Fold every other tip of slits toward center. (Tips will meet in center to form a pinwheel.) Press to seal.
Combine yolk and 1 tablespoon water. Brush pinwheels with egg mixture; sprinkle with cheese. Bake at 375° for 10 to 12 minutes or until golden.