Preheat oven to 210°C or 190°C fan. Toss pumpkin with oil in a baking pan and roast for 10 minutes, until golden and slightly soft. Remove and cool.
Meanwhile, cut eight 12cm circles from pastry sheets. Place four on a baking tray. Using a 10cm round cutter, cut rings from remaining four pastry circles. Place rings on 12cm circles and press to seal.
Prick inner circle with a fork and fill with pumpkin. Bake for 10 minutes, until puffed and golden. Crumble over blue cheese and scatter with rosemary. Bake for another 3-5 minutes. Serve with a grinding of black pepper.