In a medium saucepan, stir together the figs, red wine, honey, cinnamon stick and peppercorns. Bring to a simmer, then cook until the figs are softened, about 10 minutes.
Using a slotted spoon, transfer the figs to a small bowl; let stand until cool enough to handle.
Heat the remaining liquid over medium heat, stir in the brown sugar and simmer until thickened, about 5 minutes.
Preheat the oven to 400°F and line a baking sheet with parchment paper.
Unfold each of the pastry sheets onto a lightly floured surface.
Using a 2-inch round cutter, cut out 40 rounds; place rounds 1 inch apart on the prepared baking sheet.
Brush some of the fig syrup on each pastry round, reserving the rest for serving.
Drop 1/2 teaspoon blue cheese onto each round and top with a fig quarter. Fold the edges of the round over the fig and gently pinch together.
In a small bowl, beat egg yolks with 2 tablespoons water.
Brush pastries with the egg wash and bake until puffed and golden, 12 to 15 minutes. Serve warm with the reserved fig syrup for dipping.