Peel and halve the onions, then thinly slice. On a side burner or stove top, heat the olive oil in a saucepan on high heat. Add the onions and cook until softened, about 3 minutes. Reduce the heat to medium and add the balsamic vinegar, brown sugar, salt, and pepper. Cook until the onions have caramelised, 5 to 10 minutes. Set aside to cool.
Cut each sheet of pastry into nine squares. Gently score a 1cm border in each of the squares, being careful not to cut all the way through.
Set up your barbecue for indirect cooking. Please refer to your handbook for further instructions. Preheat your barbecue for roasting.
Using a pastry brush, brush the borders with the lightly beaten egg. Place a dessertspoonful of the caramelised onion in the middle of each square, ensuring the onion mixture is not on the borders. Crumble the Gorgonzola on the top of the caramelised onion.
Once the barbecue has preheated, make adjustments to the burner control(s) if required for the roasting setting. Cook the tartlets until the pastry is golden, 12 to 15 minutes.
Remove the tartlets from the barbecue, leave to cool slightly, and garnish with the fresh thyme.