1. Melt butter with olive oil in a medium frying pan over medium-high heat. Add shallot and garlic and cook 30 seconds, stirring. Add mushrooms and thyme and cook, stirring occasionally, until mushrooms stop giving off liquid and start to brown, about 5 minutes. Add Madeira and soy sauce and cook just until liquid has evaporated, about 2 minutes. Let cool to room temperature.
2. Preheat oven to 400°. On a floured work surface and with a floured rolling pin, roll pastry sheet out to a thickness of 1/8 in. Cut pastry into rounds with a buttered and floured 2-in. biscuit or cookie cutter with fluted edges and arrange rounds 1/2 in. apart on 2 baking sheets.
3. Press the middle of each round with your finger to make a depression, leaving a 1/4-in.-wide rim. Poke each center once with a fork and top with a scant tsp. of mushroom filling. Whisk egg and cream together and set aside.
4. Bake pastries until golden brown and beginning to puff, 8 to 12 minutes. Remove from oven and lower heat to 350°.
5. With the end of a small funnel, carefully punch down centers of pastries while spooning about 1/2 tsp. egg-cream mixture through funnel (to help guide the liquid) and into pastry (spoon in more if the pastry will accept it without overflowing). Bake pastries another 10 to 15 minutes, or until deep golden brown.
Note: Nutritional analysis is per puff.
The filling may be made a day ahead and kept in the fridge. Pastry rounds may be made through step 2 and frozen on plastic-wrapped baking sheets for up to 1 week (thaw in the refrigerator before filling and baking) or refrigerated up to 1 day.