Preheat your oven to 400°F (200°C) and line a small baking sheet with parchment paper.
Season the beef tenderloin on all sides with sea salt and black pepper.
Heat avocado oil in a cast-iron skillet over high heat and sear the beef for 1-2 minutes per side until a brown crust forms, then remove from heat and brush immediately with Dijon mustard.
Finely mince the mushrooms, shallot, and garlic, then sauté them in the same skillet with fresh thyme until all moisture has evaporated and the mixture becomes a thick paste.
Lay a piece of plastic wrap on a flat surface and arrange the prosciutto slices in a slightly overlapping rectangle.
Spread the mushroom duxelles evenly over the prosciutto, place the beef in the center, and use the plastic wrap to roll it tightly into a log, chilling it in the freezer for 10 minutes to firm up.
Roll out the puff pastry into a thin sheet, remove the beef from the plastic wrap, and wrap the pastry around the beef, tucking the ends under and sealing the edges with a bit of water.
Place the Wellington on the baking sheet, brush the top with a beaten egg wash, and bake for 18-22 minutes until the pastry is golden and the internal temperature of the beef reaches 130°F for medium-rare.