Preheat the oven to 350°. Spread the pecans on a baking sheet and bake for 6 minutes, or until lightly toasted. Let cool, then coarsely chop. Increase the oven temperature to 375°.
In a large bowl, whisk the flour with the sugar, baking powder, thyme, kosher salt and pepper. Using a pastry blender or 2 knives, cut in the butter until the mixture resembles small peas. Add the pecans, toss and make a well in the center of the dry ingredients.
In a small bowl, whisk the sour cream with the whole egg, egg yolk and 1/4 cup of milk. Add the wet ingredients to the well in the dry ingredients and stir with a wooden spoon until moistened. Turn the dough out onto a lightly floured work surface and knead 2 or 3 times, or just until it comes together.
On a lightly floured work surface, roll out the dough into a 12-by-8-inch rectangle. Cut the dough into 24 two-inch squares and transfer them to a large baking sheet. Lightly brush the tops of the scones with milk and sprinkle with sea salt. Bake the scones in the center of the oven for about 22 minutes, or until the tops and bottoms are golden. Let cool slightly before serving.
The baked scones can be frozen for up to 2 weeks. Thaw and reheat before serving.