For the chutney, heat the onion, vinegar, lemon juice, sugar, cloves and cinnamon in a non-reactive saucepan over a low heat for 15 minutes.
Turn the heat off and add the golden sultanas. Set aside for 30 minutes to allow the sultanas to soak.
Preheat the oven to 200C/180C fan/Gas 6.
For the dumplings, put the apples, lemon juice and 300ml/10½fl oz water in a lidded saucepan. Cover the pan with the lid and bring the mixture to a simmer. Stew the apples gently for 18-20 minutes, stirring occasionally. When completely softened, mash the apple mixture and transfer to a bowl to cool.
Roll the sheet of puff pastry out onto a lightly floured work surface to a 50cm/20in square. With a sharp knife, cut 16 squares measuring 12cm/4½in from the pastry.
Transfer 8 of the pastry squares onto a baking sheet and spoon a generous helping of the cooled apple sauce into the centre of each. Crumble about 20g/¾oz of the Stilton over each.
Brush the edges of each pastry square with a little of the beaten egg. Lay the remaining 8 pastry squares over the filled pastry squares, crimping the edges of each to seal. Brush the tops of the pastry parcels with more of the beaten egg, then sprinkle over the nigella seeds.
Bake for 18-20 minutes, or until the pastry has risen and is golden-brown.