Thaw the puff pastry. Trim the mushrooms, wipe with a damp kitchen towel and tear or cut into fine strips. Peel the shallots and the garlic cloves and chop finely. Heat olive oil in a pan and fry the shallots with the garlic until soft. Add mushrooms and sauté for about 2 minutes while stirring. Rinse the parsley, finely chop and add to the mushrooms. Season with salt, pepper and nutmeg.
Preheat the oven to 200°C (approximately 400°F) convection.
Roll puff pastry on a floured surface about 0.5 cm thick and cut into rectangles about 10 x 7 cm (approximately 4 x 3 inches). Brush the egg yolks on the dough, add mushroom mixture on top (leaving the edges uncovered) and roll up lengthwise. Place on a parchment paper-lined baking sheet and bake for 10-15 minutes in the preheated oven. Remove from baking sheet and serve hot.