Preheat oven to 400 degrees F, and line 2 or more baking sheets with parchment paper.
Roll the puff pastry sheets into 10x10-inch rectangles. Then refrigerate to keep cold. Chop the bacon into small pieces. Drain the olives, and pat dry with a paper towel.
In a small sauté pan, brown the bacon pieces over medium heat until crispy. Pour off the grease and place the bacon on paper towels to drain.
In a teaspoon of the bacon fat, sauté the shallot and rosemary over medium low until wilted and flavors are released, 2 minutes.
Mix the cooked bacon, shallots, rosemary, feta, ricotta, lemon zest, black pepper, and red pepper together in a small bowl to create filling.
Cut pastry into 2-inch squares, roll out a little more if needed.
Place 1 teaspoon of filling in the middle of each pastry square and top with 1 olive. Moisten the edges of pastry square with water, pull together corners, pinching the edges together. Repeat until all puffs are assembled and sealed.
Create egg wash by whisking 1 egg with 1 tablespoon of water. Brush the egg wash over the Bacon Kalamata Cheese Puffs.
Bake for 30 minutes, until very golden. Cool slightly and serve warm.