1. In a large pan over medium heat, saute the shallots in the butter until softened, about 5 minutes. Add the mushrooms, salt and pepper to taste, and continue to saute until mushrooms give up their liquid, about 4 more minutes. Add the cognac and continue to cook until liquid has been reduced to a glaze, about 5 minutes. Set aside and let cool.

2. Heat oven to 400 degrees.

3. Roll out the puff pastry to 1/8 inch, and cut into 2 1/2-inch squares. Place one teaspoon of filling in the center of each square. With a pastry brush, apply a little ice water to two opposite corners of the square and bring them together. Crimp the edges to seal. Cover a baking sheet with parchment paper; place piroshki on sheet, with center points tucked under.

4. Beat together the egg yolk and cream, and lightly brush the tops of the piroshki with egg wash. Bake for 8 to 10 minutes, until puffed and golden brown.