Cut six 14- x 12-inch pieces of parchment paper; cut each into a large heart shape. Fold in half; open out flat, and lightly butter exposed surface. Set aside.
Combine water, 1 teaspoon salt, thyme, bay leaf, and lemon slices in a large Dutch oven; bring to a boil. Add fillets; reduce heat and simmer, uncovered, 15 minutes or until fish flakes easily when tested with a fork. Remove fillets from fish stock; set aside. Strain stock into a 2-cup glass measure; add water to yield 1 1/2 cups. Set stock aside; discard bay leaf and lemon slices.
Sauté onion in butter in Dutch oven over low heat until tender. Gradually add flour, stirring until well blended. Cook 1 minute, stirring constantly. Gradually add reserved fish stock; cook over medium heat, stirring constantly, until slightly thickened. Gradually stir one-fourth hot mixture into yolks; add to remaining hot mixture, stirring constantly. Stir in remaining salt, shrimp, crab meat, and mushrooms.
Place one fillet on half of each paper heart; top each with 1/2 cup shrimp mixture. Fold paper edges over to seal securely. Carefully place parchment bags on baking sheets. Bake at 400° for 10 minutes or until bags are puffed and lightly browned.
Transfer bags to serving plates. Cut an opening in bags, and serve.