Preheat the oven to 400 degrees F. Line a baking sheet with parchment paper and set aside.
Roll out one sheet of puff pastry on a lightly floured surface to 2 to 3mm thick (or approximately 20x26 cm in width and length). Use a 5-cm cookie cutter to stamp out 20 rounds of puff pastry. Transfer the rounds to the parchment-lined baking tray, spacing them at least 4-cm apart.
Roll out the other sheet of puff pastry to the same thickness and repeat the process by stamping out 20 rounds of puff pastry. Then take a 3-cm wide cookie cutter (or a large piping tip works great) and stamp out the centres of the rounds to create a ring.
Beat the egg and water in a small bowl to create an egg wash. Use a pastry brush to brush the rounds with egg wash, then pace the rings on top of the rounds, ensuring the edges match up. Gently press the ring down and brush the top of the ring with egg wash.
Prick the centre of the vol au vents with a fork a few times, then bake in the oven for 15-20 minutes or until golden brown.
As the pastries are baking, make the mushroom filling. Heat a large frying pan over a medium-high heat. Add the butter to the pan, followed by the chopped mushrooms, shallots, salt, and pepper and cook for 5 minutes until soft.
Add the garlic, and thyme and cook for another minute. Then add the wine. Let it evaporate until you are only left with about 2 tablespoons of liquid.
Next, add flour and cook for 1 more minute over medium-high heat until it thickens. Add whipping cream and mix to combine. Remove from the heat and add half the parsley to the pan. Stir to combine and set aside.
Remove the vol au vents from the oven and let cool for 2 minutes. Press the centres of the vol au vents down with the back of a spoon.
Next, spoon the hot mushroom mixture into the vol au vents and top with the remaining parsley. Serve immediately and enjoy!