Season the beef tenderloin with salt and pepper, then sear in a hot pan with avocado oil for 1-2 minutes per side until browned; remove and let cool.
Finely mince the mushrooms, shallot, and garlic, then sauté in the same pan with thyme until all moisture has evaporated and the mixture is paste-like.
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, then brush the cooled beef with Dijon mustard and place it in the center.
Use the plastic wrap to tightly roll the prosciutto and mushrooms around the beef, then chill in the refrigerator for 15 minutes to set.
Roll out the puff pastry on a floured surface, place the chilled beef roll in the center, and wrap the pastry around it, sealing the edges with egg yolk.
Place the Wellington on a parchment-lined tray, brush the entire surface with egg yolk, and bake at 400°F for 20-25 minutes until the pastry is golden brown and the beef reaches your desired doneness.