We took the classic flavors and textures of beef Wellington and transformed them into an elegant preparation for salmon. Use any mushroom you like — white button, cremini, or mixed wild mushrooms are all good choices.
In a large skillet, melt 1 ½ tablespoons of the butter over medium heat. Add the mushrooms, half of the shallots, half of the salt, half of the pepper, and half of the thyme. Cook, stirring frequently, until the mushrooms are tender and almost completely dry, about 8 minutes. Stir in the spinach and cook until the mixture is very dry. Set aside to let cool.
Preheat the oven to 400 degrees and line a baking sheet with parchment paper. Dust a work surface with flour.
Roll out the pastry to a rectangle about 21-by-16-inches. Use a sharp knife or pizza wheel to cut into 6 pieces, each about 7-by-8-inches. Season the salmon on all sides with the remaining salt and pepper.
Place a piece of salmon on each piece of puff pastry. (If any ends of the salmon are particularly thin, tuck them under so the pieces are fairly uniform in thickness.) Top the salmon with the mushroom mixture.
Use your finger to moisten edges of the pastry with a little water, then fold the pastry sides in like a package and press to seal, completely covering the salmon and mushrooms. Arrange seam-side down on the baking sheet and place in the freezer for 15 minutes.
Meanwhile, combine the remaining shallot, remaining thyme, and wine in a small saucepan. Simmer until reduced to about ½ cup and set aside off the heat.
In a small bowl, whisk the egg with the water. Brush the tops of the pastry with the egg wash and bake in the top third of the oven until the pastry is golden brown, about 25 minutes.
Reheat the reduced wine. Remove from the heat and whisk in the remaining butter a little at a time. Spoon the sauce onto plates and top with the salmon.