Preheat the oven to 200°C, fan 180°C, gas mark 6. Heat the oil in a large frying pan and add the mushrooms and thyme. Sauté for 5 minutes or until golden. Set aside.
Meanwhile, unroll the pastry and stamp out 4 x 10cm rounds. Place on a parchment-lined baking sheet and, using a sharp knife, score a 1cm border around the edge of each round taking care not to cut all the way through.
Toss the walnuts and Shropshire Blue cheese together with the mushrooms, then spoon into the centre of the pastry rounds.
Brush the edges with the beaten egg and bake in the oven for 10-15 minutes, until puffed up and golden.
Serve with a lamb's lettuce and red onion salad.