Combine button mushrooms and portobello mushrooms in a food processor and process until finely ground, resembling ground beef. Separate into two portions: 5 ounces and 12 ounces.

Mix 5 ounces processed mushrooms, ground beef, panko, egg, Worcestershire sauce, 1/2 teaspoon thyme, salt, and pepper in a large bowl. Shape the mixture into a 5x10-inch loaf using wax paper.

Preheat the oven to 375°F (190°C), line a baking sheet with foil, and place an elevated wire rack on the sheet.

Chop shallots using the food processor.

For mushroom duxelles, cook reserved 12 ounces mushrooms, minced shallots, butter, and remaining thyme in a skillet until liquid evaporates (about 10 minutes). Add sherry, cook it off, and let mixture cool. Season with salt and pepper.

Roll out the puff pastry on a floured surface into a 13x15-inch rectangle. Layer prosciutto, Dijon mustard, and mushroom duxelles evenly, leaving a 1-inch border uncovered.

Place the beef loaf in the center of the puff pastry. Fold and seal the edges to fully enclose the loaf. Brush beaten egg yolk on the wrapped loaf.

Optional: Use reserved pastry to create a lattice pattern. Place the lattice over the wrapped loaf and brush with beaten egg yolk.