Peel and thickly slice the onions. In a heavy based pan over a medium heat, add the olive oil and gently fry the onions. Add Thyme. Stir often until the onion has caramelised. Remove the pan from the heat and set aside.
Over a flame, char the capsicum until the skin has blackened. Put in a small bowl and cover with cling film (this will help the skin come off more easily).
Once the capsicum is cool enough to handle, remove the top and bottom, split lengthways and discard the seeds and white membrane. Peel off the blackened skin and discard. Using a sharp knife, cut the flesh into thin strips and set aside.
Preheat the oven to 170ºC
Using a fork, gently stab the surface of the puff pastry discs to create small holes. Line a tray with baking paper; place the pastry on top of the paper. Put another layer of baking paper over the discs (so they don’t rise when cooking). Bake in the oven for 15 mins or until golden.
Cut olives in half. Cut anchovies into strips the same size as the capsicum.
To assemble, spread a thick layer of the caramelised onions on top of the cooked pastry. Criss-cross the top with strips of capsicum and strips of anchovies, place olive cheeks round side up in the gaps between the strips and serve.