Beat the feta, onions, yogurt and egg together and season with a little pepper. Spoon into a piping bag fitted with a large plain nozzle.
Unfold the pastry sheets and put one sheet on your work surface with the long edge facing you. Brush with a little of the butter, then cut into 3 strips, 15 × 23 cm (6 × 9 inches), then cut in half to make 15 × 11 cm (6 × 4½ inch) rectangles.
Pipe a line of the feta cheese mixture about 2.5 cm (1 inch) up from the long side of each rectangle and a little in from the short sides. Fold the short sides in, then the base of the pastry, and roll up to enclose the filling completely and make a thin cigar-type shape. Continue until you have 6 cigarellos from the sheet of pastry.
Repeat with the remaining pastry sheets and feta mixture until both are used up. Arrange on an ungreased baking sheet and brush the outside of each with the remaining butter. Sprinkle with a few sesame seeds, if liked. Bake in a preheated oven, 190°C (375°F), Gas Mark 5, for 10–12 minutes until the pastry is golden brown.
Leave to cool, then serve while still warm with salad as a starter or glasses of chilled wine as an aperitif.