In a large skillet, heat the canola oil over medium heat. Add the finely chopped sweet onion and sauté until translucent and fragrant, about 5 minutes. Stir in the coleslaw mix and cook until softened, about another 3-4 minutes.
Remove the skillet from heat and add the chopped corned beef, mayonnaise, Dijon mustard, and season with salt and pepper to taste. Mix everything well until combined.
Preheat your oven to 400°F (200°C). On a lightly floured surface, roll out the thawed puff pastry sheets to about 1/8 inch thick. Cut each sheet into squares, roughly 4x4 inches.
Place a generous spoonful of the filling onto the center of each pastry square. Fold the pastry over to form a triangle, sealing the edges by pressing with a fork.
Beat the large egg in a small bowl and brush the egg wash over the tops of the turnovers for a beautiful golden color.
Place the turnovers on a baking sheet lined with parchment paper and bake in the preheated oven for 20-25 minutes, or until they are puffed and golden brown.