Heat oil in a large non-stick frying pan over low heat. Add the onion and thyme and cook for 10 minutes. Cover and cook for a further 10 minutes or until golden. Set aside. Increase heat to high, brush the veal with oil and cook for 1–2 minutes on each side or until brown and cooked through. Slice in half and set aside. Spread bread with mustard and mayonnaise, top with cheddar and grill (broil) under a preheated hot grill for 1–2 minutes or until cheese is melted and golden. Layer 3 slices of bread with pickles, onion and veal and sandwich together. Repeat with remaining bread, pickles, onion and veal.