To make the Harissa, preheat the oven to 200 degrees Celsius (390 Fahrenheit) and place the capsicum on a tray lined with baking paper and roast until the skin is black, about 20 to 25 minutes. Remove from the oven and place in a plastic bag, seal and allow to cool. Once cooled you should be able to easily remove the skin. Discard the stalk and seeds.
Toast the cumin and coriander seeds in a frying pan over a medium heat until fragrant. Set aside to cool. Once cooled add to a food processor fitted with a steel blade and process until a powder forms. Add the remaining ingredients and process until you have a smooth paste. Set aside while you make the tarts.
To make the tarts, preheat the oven to 200 celsius (390 Fahrenheit). Place the pumpkin slices in a bowl and add the olive oil and season with salt and pepper. Toss to combine and then place in a single layer on a baking tray lined with non stick paper. Bake for 20 to 25 minutes or until tender.
Reduce the oven to 190 celsius (375 Fahrenheit).
Cut the feta in half and cut one half into cubes and crumble the other half.
Add 1 tablespoon of the Harissa with the yoghurt, crumbled feta and egg and mix to combine.
Cut the puff pastry sheets into 4 squares and spread each square with the Harissa mixture leaving a border at the edge. Top with slices of roasted pumpkin, and feta cubes before sprinkling with Thyme leaves.
Bake for 15 to 20 minutes, until the pastry is golden.