Pulse celery, shallots and garlic in food processor 10 times or until chopped. Add half the mushrooms; pulse until roughly chopped. Add remaining mushrooms; pulse until very finely chopped. Set aside.
Season steaks generously with kosher salt and ground black pepper. Heat oil in large skillet on high heat until lightly smoking. Sear steaks 1 min. on each side. Remove from pan.
Add mushroom mixture, thyme, bay leaf, and ¼ teaspoon each salt and pepper to pan. Cook on medium heat 15 min. or until mixture looks dry and begins to stick to pan, stirring occasionally. Stir in wine and mustard. Cook 5-6 min. or until most liquid is evaporated; spread onto small plate. Refrigerate steaks and mushroom mixture until chilled.
Heat oven to 425°F. Roll out 1 puff pastry sheet on lightly floured surface to 12x10 inches; cut into 6x10-inch rectangles. Brush with some of the egg mixture. Spoon about 1 tablespoon mushroom mixture onto center of each pastry rectangle and top with 1 steak. Spread about 2 tablespoons mushroom mixture over top of steak. (Discard thyme stems and bay leaf.)
Bring 2 ends of the pastry together toward the center of each steak and pinch closed, pulling gently if needed. Fold down the sides, shaping the dough to the steak. Trim any excess dough and seal sides. Repeat with remaining dough, steaks and mushroom mixture.
Arrange Wellingtons on baking sheet prepared with cooking spray. Brush outsides with remaining egg mixture. Bake 17-22 min. or until internal temperature reaches about 100°F for medium rare. Let stand 15 min. before serving.
Tips
Wellingtons continue to cook after removing from the oven. For medium rare, cook to 100°F; for medium, cook to 115°F.
To prepare ahead of time, assemble Wellingtons through Step 5 and refrigerate up to 24 hours. When ready to serve, brush with egg and bake as directed.
For a variation, cover pastry rectangles with thin prosciutto slices before adding mushroom mixture and steaks. Continue as directed.
