In a double boiler over simmering water or a small heavy saucepan, constantly whisk the egg yolks, lemon juice and mustard until mixture begins to thicken and reaches 160°. Reduce heat to low. Slowly drizzle in warm melted butter, whisking constantly. Whisk in cayenne.
Transfer to a small bowl if necessary. Place bowl in a larger bowl of warm water. Keep warm, stirring occasionally, until ready to use.
In a large skillet over medium heat, cook and stir ham and onions in butter until onions are tender. In a large bowl, whisk six eggs and milk. Add egg mixture to the pan; cook and stir until set. Remove from the heat; stir in 1/3 cup reserved hollandaise sauce. Set aside.
On a lightly floured surface, unfold puff pastry. Roll each sheet into a 12-in. x 9-1/2-in. rectangle; cut each in half widthwise. Place 1 cup egg mixture on half of each rectangle; sprinkle with cheese.
Beat water and remaining egg; brush over pastry edges. Bring an opposite corner of pastry over the egg mixture; pinch seams to seal. With a small sharp knife, cut several slits in the top.
Transfer to a greased baking sheet; brush with remaining egg mixture. Bake at 400° for 18-22 minutes or until golden brown. Serve with remaining hollandaise sauce. Sprinkle with tarragon if desired.