Make the mushroom duxelles by processing mushrooms in a food processor. Melt butter in a skillet, add shallots, and cook until fragrant.
Stir in mushrooms and thyme, cooking until the moisture evaporates. Deglaze with wine, simmer until dry, then mix in parsley. Season and let cool.
Sear beef fillet in a hot skillet with a little oil until browned on all sides, about 2 minutes each. Slice into 12 portions and season lightly.
Roll out puff pastry and cut into 12 squares. On each square, layer prosciutto, a spoonful of duxelles, and a beef piece brushed with Dijon mustard.
Fold pastry over, seal edges, and place seam-side down on a lined baking sheet.
Whisk an egg with water, brush over the pastries, and cut a small slit in the tops. Chill for 10 minutes.
Bake at 375°F (190°C) for 12 minutes until puffed, golden, and crisp.
Blend Gorgonzola, cream, and water until smooth.
Top each Wellington with sauce, garnish with thyme, and serve warm.