Filo-based pastries are made by layering many sheets of filo brushed with melted butter; the pastry is then baked.otable pastries made with filo include: 1  Baklava-Layers of filo with chopped nuts, sweetened and held together with syrup or honey. 2  Banitsa-A Bulgarian dish consisting of eggs, cheese and filo baked in the oven. 3  Boerek-Börek a savory filo pie originally from The Ottoman.  empire