Heat the oven to 400°F.
Unfold the pastry sheet on a lightly floured surface. Cut the pastry sheet into 3 strips along the fold marks. Cut each strip into 6 rectangles, making 18 in all. Place the pastry rectangles onto a baking sheet.
Bake for 15 minutes or until the pastries are golden brown. Remove the pastries from the baking sheet and let cool on a wire rack for 10 minutes. Split the pastries into 2 layers, making 36 in all.
Beat the blue cheese, cream cheese, heavy cream and lemon juice in a medium bowl with an electric mixer on low speed until the mixture is smooth.
Spread 1 tablespoon cheese mixture on 18 bottom pastry layers. Top with the top pastry layers and spread with the remaining cheese mixture. Sprinkle the walnuts and parsley on the pastries. Top each with 1 apple slice.