Preheat oven to 350°. Line 2 large cookie sheets with parchment paper or lightly grease; set aside.
In a food processor combine cheese and butter. Process until well combined. Add egg yolk and 1/4 tsp. ground black pepper. Process until well combined. Add flour; pulse several times until a soft dough forms, set aside.
In a small bowl combine egg white and water. Place pecans in a shallow dish. Shape dough in 3/4 inch balls. Roll balls in egg white mixture, then pecans. Place them apart on prepared cookie sheets. Press your thumb into center of the ball, reshaping as necessary.
Bake about 15 minutes or until edges are firm and cookies are lightly golden. Press puffed centers down using the rounded side of a measuring teaspoon. Transfer to a wire rack and let cool. Just before serving, place a small amount of pepper jelly in the center of each thumbprint.
Store covered in the refrigerator up to 3 days or in the freezer up to 3 months. Thaw if frozen. These are very presentable when using 2-3 different flavors and colors of jelly. Makes about 42 appetizers.