BRING first 4 ingredients to a boil in a Dutch oven. Cover, reduce heat, and simmer 1 hour or until tender. Remove chicken, reserving 3/4 cup broth; discard onion and bay leaves. Cool. Skin, bone, and coarsely chop chicken; set aside.

WHISK together all-purpose flour and vegetable oil in Dutch oven; cook over medium heat, whisking constantly, 15 to 20 minutes or until roux is caramel colored. Stir in chopped bell pepper, onion, and garlic; cook 2 minutes. Add sliced okra, tomatoes and chiles, dried thyme, and reserved 3/4 cup chicken broth. Cover, reduce heat, and simmer 30 minutes.

PEEL shrimp, and devein, if desired. Add shrimp and 2 cups chopped chicken to gumbo; cook 8 minutes or just until shrimp turn pink. Remove from heat, and cool slightly.

Roll out pastry sheet on a floured surface; cut into 4 (5-inch) squares. Return pastry to freezer for at least 15 minutes. Cut out decorative shapes from excess pastry strips.

LADLE gumbo into 4 ovenproof soup bowls, filling three-fourths full. Place 1 pastry square over each bowl, pressing firmly to sides to seal edges. Place decorative shapes on top of pastry. Brush pastry with egg. BAKE at 400°F for 20 minutes or until pastry is puffed and golden.

Serve pot pies with hot sauce, if desired. Yield: 4 servings.