In a food processor, finely blend the chopped mushrooms and onions.
Heat 1 tablespoon of olive oil in a large pan over medium-high heat. Once hot, add the chopped sirloin, mushrooms, onions, and thyme. Season with salt and pepper to taste. Cook for 3-4 minutes until the beef is browned. If needed, drain any excess liquid. Stir in the Dijon mustard and set aside.
Preheat the oven to 200°C (400°F). Line a baking sheet with parchment paper.
On a clean surface, roll out the thawed puff pastry sheets side by side. Cut each sheet in half horizontally and vertically, creating 4 equal squares from each sheet.
Place 1 slice of prosciutto diagonally on each square (fold in half if needed). Spoon the beef mixture diagonally from the top corner to the bottom corner of each square. Fold the puff pastry over the filling, lightly wetting two opposite corner tips and pressing them together to seal the turnovers.
Place the turnovers on the prepared baking sheet. In a small dish, scramble the egg with water and brush the egg wash onto each puff pastry. Bake for 20-25 minutes or until golden brown.
While the turnovers bake, prepare the sweet chili wine sauce. In a saucepan, whisk together all the sauce ingredients except the cold water and cornstarch. Bring the mixture to a simmer for about 8 minutes, stirring often. In a small bowl, mix the cornstarch and cold water, then add it to the saucepan over high heat, constantly stirring until the sauce thickens.
Serve the beef Wellington turnovers with the sweet chili wine sauce as a delectable dipping sauce or drizzle it over the turnovers. Enjoy the harmonious blend of flavors and the culinary delight of this elegant dish.