Heat 1 teaspoon oil in a large nonstick skillet over medium-high heat until hot. Add shrimp; sauté 3 minutes. Remove shrimp from skillet; set aside, and keep warm.
Add 1 teaspoon olive oil to skillet. Add mushrooms; sauté 5 minutes. Combine milk, flour, sherry, and egg yolk, stirring with a whisk until blended, and add to mushrooms. Bring mixture to a boil; reduce heat, and simmer until thick, stirring constantly (about 3 minutes). Return shrimp to skillet, and stir in salt and peppers.
Cut each toast slice in half diagonally. Arrange 4 toast triangles on each of 2 plates; top the triangles with 1 1/4 cups shrimp mixture, and sprinkle with chives.