Heat the oven to 400°. Coat a rimmed baking sheet with cooking spray and arrange the phyllo cups on the sheet. Evenly distribute ham and cheddar cheese among the cups. In a liquid measuring cup with a spout, combine an egg, water, thyme, salt, and pepper. Lightly whisk the mixture, then distribute it evenly among the cups (about 1 1/2 teaspoons each). Bake until lightly browned and puffed, about 10 minutes.