Preheat oven to 400 degrees F.
Combine the whisked egg and the buttermilk together and mix well. Set aside.
Whisk the flour, sugar, baking soda and salt together in a bowl and set aside.
Cut bacon into lardons (lardon is just a fancy word for slab bacon sliced into matchsticks. There's some debate as to appropriate dimensions, but about ¼-inch thick, 1-inch long seems to be a sweet spot). Gently cook until crispy, starting with a cold, non-greased pan. Remove crispy bacon onto paper towels to drain excess fat. Save about 1 tablespoon of bacon grease in pan and add onions.
Gently cook onions until they become light brown or caramel in color (caramelized). Add Marsala wine to pan (deglazing) and scrape up browned bits from bottom of the pan with spatula. Cook until almost all of the wine is evaporated (au sec). Remove from pan and set aside to cool.
While bacon and onions are cooling, add cold, cubed butter to flour mixture. Using your hands, incorporate butter into the flour mixture by rubbing together to create a crumbly texture the size of small peas. Add the thyme and bleu cheese and gently combine.
Add cooled bacon and onions to egg mixture and thoroughly mix. Create a well in flour mixture and add egg mixture. Gently combine all ingredients together. DO NOT OVER MIX DOUGH. Ensure all ingredients are combined and form into a ball on your work surface.
Place dough ball onto a Silpat lined sheet pan or into a cast iron skillet (whichever is available to you). Using a knife, cut a deep "X" across the top of the bread. Do not cut all the way though, roughly 3/4 of the way through. Cut another "X" in between your previous "X" creating 8 pie-shaped pieces.
Baked at 400 degrees F for 45 minutes. Remove from oven and allow to cool slightly before eating.