Preheat oven 200°C. Line a baking tray with baking paper.
Using a food processor, pulse the mushrooms until they are very finely chopped. In a large saucepan heat a drizzle of olive oil and add the mushrooms. Sauté until the mushrooms give off all their water and begin to brown. Remove from the heat and set aside in a bowl.
Heat a fresh drizzle of olive oil in the pan. Sauté onion until soft and then add the garlic. Cook until fragrant. Transfer to the bowl of cooked mushrooms and allow to cool.
Combine the cooled mushroom and onion mix with one egg, breadcrumbs, parsley and fennel seeds. Season with salt and pepper and mix until well combined.
Working with one sheet of pastry at a time, spoon some filling along one long edge. Brush the opposite edge of a pastry with the egg wash. Roll up to form a sausage. Press pastry together to secure. Repeat with remaining mixture and pastry.
Brush the top of each roll with egg. Cut each roll into ± 5cm long segments.
Place onto lined baking tray pastry seam side down. Bake for 30 minutes or until pastry is golden and filling is cooked through.
Serve with tomato sauce for dipping.