Heat up bacon grease in a small sauce pot over medium heat.
Add diced onion. Break up breakfast sausage as much as possible and add it to the pot. Keep cooking sausage and onion, breaking up chunks of sausage, until it's nearly done.
Sprinkle flour over sausage and mix until all evenly combined.
Keep stirring and start pouring in milk. Add salt and pepper. Keep slowly stirring and cooking until thickened. Once the gravy is thick, take off heat and let it cool for about 15 minutes.
Preheat oven to 400. Place parchment paper on a baking sheet and lightly spray it with cooking spray.
Whisk egg white in a cup and set on the counter.
Lay out each pastry sheet on the counter. Very gently stretch it just a little bit to the sides to form a rectangle instead of the square it starts as. You only want to stretch about two inches. Cut each stretched sheet in half.
Divide sausage and gravy among the four pastry sheets, in the center, leaving about an inch and a half on the sides and 2 inches at the top and bottom.
Fold top and bottom. Dip your fingers in egg white and run your fingers along the edges. This will help seal the pastry.
Bring sides together and press to seal.
Lay filled pastry on the prepared baking sheet seam down and repeat with remaining pastries.