In a sauté pan over medium heat add oil and sauté shallots, garlic, thyme, mushrooms until shallots are translucent and mushrooms are softened.
Add beef, red wine, Worcestershire, Dijon mustard and seasonings. Cook until beef is cooked thoroughly. Add heavy cream and mascarpone cheese and mix well until incorporated. Remove from heat and let filling cool.
While filling is cooling. Remove puff pastry from package. Divide pastry sheets into 3rds then cut into 2 inch squares.
Place egg and 1 tbsp of water in bowl and mix until it is well combined. Place 1/2-1 tbsp cooked meat filling into the middle of a puff pastry square. Do not overfill. Brush egg wash on one side of puff pastry and fold other half to make a triangle. Take a fork and press together. Do this with the rest of puff pastry.
Place on cookie sheet and bake 10-15 minutes until pastry is golden brown. Serve warm with favorite dipping sauce