Season the 6oz Filet Mignon with salt and pepper and sear in a heavy bottomed pan over high heat until nicely browned on all sides, about three minutes total. Combine the thyme, shallot and mushrooms in a blender and process until finely minced. Cook the mushrooms in a dry pan until all of the moisture has been released. Lay two pieces of proscuitto overlapping on a piece of plastic wrap. Spread one quarter of the mushroom mixture over the ham. Brush one of the cooked 6oz Filet Mignons with the mustard and place in the center of the ham. Fold the ham and mushrooms over the 6oz Filet Mignon ensure it is completely covered and wrap tightly with the plastic wrap refrigerate for twenty minutes. Repeat this step with all three 6oz Filet Mignons. Gently beat the egg with the water and set aside. Lay the pastry out flat and remove the 6oz Filet Mignon from the plastic wrap and place in the center of the pastry. Brush the edges of the pasty with the egg wash and seal completely. Stretch the puff pastry a little if you need to, to completely cover the 6oz Filet Mignon. Refrigerate another twenty minutes. Brush the outside of the pastry with egg wash and bake in a 350 degree oven until the pastry is nicely puffed and browned.