Preheat oven to 400 degrees F. Line baking sheet with parchment paper and set aside.
In a medium sized bowl, combine shredded chicken, bbq sauce, celery, green onion, mayo, and blue cheese, and mix until well combined. Set aside.
Lay one sheet of phyllo on your work surface. Lightly brush the entire surface with olive oil Gently place a second phyllo sheet on top of the first sheet. Lightly oil the second sheet.
Cut the Phyllo into 4 equal strips (see diagram below).
Place about 1 tbsp of the filling at the bottom of one strip. Fold one corner of phyllo diagonally across to the opposite edge to form a triangle. Continue to fold the triangle onto itself.
Lightly brush the triangle with oil and place seam side down on a parchment lined baking sheet.
Repeat layering the phyllo dough until all the filling has been used.
Bake for 15-20 minutes, or until the hand pies is golden brown.
Allow the hand pies to cool slightly. Serve warm, but they are still great if they come to room temperatures.