• Preheat oven to 425 degrees. Lightly spray two baking sheets with nonstick spray.
  

Prepare Filling:

• Use a spoon to remove gills from portobello mushrooms. Brush mushrooms on both sides with 2 teaspoons olive oil.
• Place mushrooms, gill-side up, on a baking sheet. Roast for 10 minutes. Flip mushrooms, then roast for 15 more minutes, or until mushrooms and tender and their surface is dry.
  
• Season mushrooms with salt and pepper, then brush with Dijon mustard. Set aside to cool.
  
• Reduce oven heat to 400 degrees.
  
• While portobellos are roasting, heat remaining tablespoon olive oil in a large skillet. When pan is hot, add onions and shallots. Season with salt and pepper. Cook until starting to brown, stirring occasionally.
• Add diced mushrooms to pan. Cook mushrooms, stirring frequently, until they are lightly browned and any liquid they release has evaporated.
  
• Stir in garlic and cook until fragrant, stirring constantly (about 1 minute). Remove mushrooms from heat, then add thyme and season to taste with salt and pepper. Set aside to cool.
  

Assemble Wellingtons:

• When mushrooms have cooled completely, remove a sheet of puff pastry from refrigerator. Place puff pastry on a lightly floured board or a piece of parchment paper.
  
• Sprinkle puff pastry lightly with flour, then use a rolling pin to roll pastry out to a 10 x 12-inch rectangle. Press together any tears in the pastry.
• Add half of the onion-mushroom mixture down the center of the puff pastry, leaving a ½-inch border on either end. Top mixture with two portobello mushrooms.
• Fold one side of the pastry over the mushrooms, then fold the other side over that. Fold under ½-inch border, then pinch together seams.
  
• Place Wellington on baking sheet (seam side down).  Repeat process with remaining puff pastry and mushrooms.
  
• Whisk together egg yolk and 2 teaspoons cold water. Brush over top and sides of puff pastry.
  
• Use a sharp knife to lightly score pastry with a pattern, if desired. Do not cut through pastry.
  
• Bake Wellingtons at 400 degrees until puffed and golden, about 40 to 45 minutes, rotating pan halfway through baking.
  
• Use a serrated knife to cut each Wellington into 4 to 5 slices. Serve immediately. Enjoy!