Preheat the oven to 180°C (fan). In a bowl, combine the anthotyro, feta, and cream cheese until smooth. Beat the egg and set aside a small amount for brushing. Add the remaining egg and thyme to the cheese mixture and mix well until you have a smooth, uniform filling. Roll out the kourou dough into a sheet and cut into strips. Place a small amount of filling along each strip, roll into sticks, and seal the edges with a fork. Transfer the sticks to a baking tray lined with parchment paper. Brush with the reserved egg and sprinkle with sesame seeds. Bake for 15–20 minutes, until golden brown.