Clean the shrimp, remove veins, and pat dry. Season with salt, pepper, and cooking wine in a bowl.

Chop the onion and mushrooms into small pieces.

Heat butter in a pan, sauté onion and mushrooms until softened, then add shrimp and cook until shrimp turns white.

Add flour to the pan and stir until no longer powdery. Gradually add milk while stirring, then mix in grated cheese and season with salt and pepper. Cook until thickened and let cool.

Roll out puff pastry sheets on a floured surface, cut each into thirds, and prick holes with a fork.

Place the cooled filling onto the pastry, ensuring one shrimp per piece. Fold the pastry and seal edges with a fork.