In a small saucepan, cook shallots in hot cooking oil until tender, but not brown. Set aside.
Arrange sweet pepper strips in a 2-quart rectangular baking dish (2-quart rectangular). Sprinkle with Gorgonzola or blue cheese and snipped fresh thyme.
In large mixing bowl, stir together eggs, half-and-half or light cream, flour, salt, pepper, and shallot mixture. Ladle over mixture in baking dish.
Bake in a 325 degrees oven for 30 to 35 minutes or until a knife inserted near center comes out clean. Remove from oven and cover to keep warm. Increase oven temperature to 400 degree F.
Unfold thawed puff pastry. Cut into 3 rectangles along the fold lines. Cut two 3-1/2x3-inch rectangles from each portion (6 rectangles total). Cut remaining three pieces of puff pastry into 24 thin strips (about 3x1/4 inches).
Brush tops of pastry rectangles lightly with milk, and arrange pastry strips on top. Place on an ungreased baking sheet and bake in the 400 degree F oven for 12 to 15 minutes or until golden.
To serve, cut custard into 6 rectangles. Place each on a plate. Top with a pastry rectangle. Makes 6 servings.