Preheat your oven to 400°F (200°C) and line a baking sheet with parchment paper. The parchment is non-negotiable unless you enjoy chiseling cheese off baking sheets.
Unfold the puff pastry on a lightly floured surface and cut it into 12 equal strips, about 1-inch wide. Don't stress about perfection—"rustic" is chef-speak for "slightly messy."
Toss the trimmed asparagus with olive oil, salt, and pepper until lightly coated. Remember, asparagus is the star here, not an Olympic swimmer.
Group the asparagus into 12 bundles with 2 spears each. If your asparagus is particularly thick, use just one per bundle (size matters).
Wrap each asparagus bundle with a half-slice of prosciutto, starting from the bottom and spiraling upward, leaving the tips exposed. This is essentially a fancy asparagus mummy costume.
Wrap a strip of puff pastry around the middle of each prosciutto-wrapped asparagus bundle, leaving the tips and bottoms exposed. Press the ends of the pastry together to seal.
Place the bundles on your prepared baking sheet, leaving about an inch between them. They need personal space to get properly golden and crispy.
Brush each bundle with beaten egg (this gives them that "I'm better than you" golden glow).
Sprinkle with Parmesan cheese, thyme leaves, and a light dusting of black pepper.
If using lemon zest, sprinkle a tiny bit over each bundle now. It adds a burst of freshness that makes people say, "Ooh, what's that flavor?"
Bake for 18-20 minutes or until the pastry is puffed and golden brown. Watch them closely after 15 minutes—the line between "perfectly golden" and "call the fire department" is surprisingly thin.
Let cool for 3-5 minutes before serving. This requires tremendous willpower, I know.