In a medium bowl, mix the softened goat cheese and cream cheese until completely smooth.
Add the finely chopped prosciutto, orange zest, and fresh thyme. Mix until evenly combined.
Portion the mixture into 12 equal pieces and roll into smooth balls.
Roll each ball in the finely chopped pistachios, pressing gently so they adhere and fully coat the surface.
Refrigerate the pistachio-coated balls for 20–30 minutes to firm up.
To assemble, thread one olive onto a toothpick, followed by a folded piece of prosciutto, then the cheese bonbon.
Serve chilled.