Melt butter in a small saucepan over medium heat. Cook shallot and garlic for 1 minute. Add flour, and cook, stirring constantly, for 2 minutes. Add wine, and cook until reduced by half, about 2 minutes. Whisk in milk and stock. Bring to a boil. Season with 1 teaspoon salt, some pepper, and the cayenne. Simmer until thickened, about 2 minutes. Remove from heat, and stir in artichoke hearts, cheeses, thyme, zest, and mustard. Let cool completely. Refrigerate until ready to use.
Preheat oven to 400 degrees. Roll out puff pastry to a 1/8-inch thickness on a lightly floured surface. Cut into forty 3-inch squares (you will have pastry left over).
Arrange 1 tablespoon artichoke mixture in center of each square. Brush 2 perpendicular edges with egg wash, and fold over to form a triangle with remaining edges, pressing to seal. Brush 1 corner of triangle with egg wash and join it to the opposite point. Transfer to a parchment-lined baking sheet. Repeat with remaining dough and filling. Refrigerate or freeze until firm, 30 minutes to 1 hour.
Brush turnovers with egg wash. Bake until golden, about 20 minutes. Let cool for 5 minutes. Serve immediately.
Unbaked turnovers can be frozen for up to 3 days.