To prepare filling, combine first 4 ingredients in a small saucepan, stirring well with a whisk. Add egg yolk, stirring well. Combine milk and cornstarch, stirring with a whisk until well blended. Slowly whisk cornstarch mixture into the egg mixture. Bring to a boil over medium heat, stirring constantly with a whisk. Remove from heat. Stir in 1 1/2 teaspoons walnut oil. Pour filling into a bowl. Place plastic wrap on surface; cool to room temperature.
Preheat oven to 350°.
To prepare Napoleons, place 1 phyllo sheet on a large cutting board or work surface (cover remaining dough to prevent drying); lightly coat with cooking spray. Place another phyllo sheet on top; lightly coat with cooking spray. Repeat layers with remaining 2 phyllo sheets and cooking spray. Gently press phyllo layers together; lightly coat top sheet with cooking spray. Cut phyllo stack in half lengthwise. Cut each half crosswise into 4 rectangles. Carefully place rectangles onto a nonstick baking sheet coated with cooking spray. Bake at 350° for 10 minutes or until crisp and lightly browned. Remove phyllo stacks from pan; cool completely on a wire rack.
To prepare sauce, combine the brown sugar and water in a small saucepan; place over medium-high heat. Bring mixture to a boil; reduce heat, and simmer 3 minutes. Remove from heat; stir in 1 tablespoon walnut oil. Add banana; stir gently to combine.
To assemble, place 1 phyllo stack on each of 4 plates; top with about 1/4 cup filling. Place 4 banana slices on each serving; cover with 1 phyllo stack. Drizzle brown sugar mixture evenly over Napoleons. Sprinkle each serving with 1 teaspoon walnuts.