1. Heat butter in large skillet over medium heat. Add mushrooms and onion; cook, stirring, 13 minutes until liquid evaporates and mushrooms are tender. Stir in flour, thyme, salt, pepper and lemon juice. Cook, stirring, for 2 minutes or until thickened. Let cool.
2. Unfold 1 pastry sheet on lightly floured work surface. Spread one-third of mushroom mixture over pastry. Roll up pastry. Cover; chill 1 hour. Repeat with remaining 2 pastry sheets and mushroom mixture.
3. Heat oven to 400 degrees F.
4. Cut chilled pastry crosswise into 1/4-inch-thick slices, about 32 slices per roll. Place, cut side down, 1 inch apart on ungreased baking sheets. Stir egg and water in small bowl. Brush slices with egg wash, without letting wash drip down sides.
5. Bake in 400 degree F oven for 15 minutes or until golden. Serve warm. Makes 8 dozen.