This is an elegant "faux" potpie, since the pastry is baked separately. It is packed with different seafood.
Combine the shallot, white wine, salt, and 1/2 cup water in a medium saucepan, and bring to a simmer. Add the mussels, and cook, covered, until the shells are open, about 2 minutes. Remove the mussels from shell, and set aside, loosely covered. Strain the cooking liquid through a double layer of damp cheesecloth, and set aside. Discard the shells.
Heat the oil in a medium straight-sided saute pan over medium heat. Add the garlic and onion, and cook, until soft, stirring occasionally, about 5 minutes. Add anchovies; cook another 2 minutes, stirring. Raise heat to medium high; add tomatoes, breaking them up slightly with back of a spoon. Add reserved mussel liquid and red-pepper flakes, and cook until the sauce has thickened, about 25 minutes. Transfer the sauce to a food processor or blender, and puree until smooth.
Heat oven to 425 degrees. Place six 6-ounce ramekins on a baking sheet, and set aside. In a small bowl, combine the egg and milk, and set aside. Lay the puff pastry on a clean surface. Using a round cookie cutter or the rim of a glass, cut out 6 pastry rounds a bit larger than rim of ramekins. Brush pastry with egg wash; place on a parchment-lined baking sheet. Bake until golden brown and puffed, 9 to 12 minutes. Set aside in a warm place.
Return sauce to saute pan; stir in yellow peppers, thyme, and parsley. Season with salt and pepper. Stir in all the seafood; distribute mixture evenly among ramekins. Place on a baking sheet; bake until juicy and bubbling, 15 to 20 minutes. Place a round of puff pastry on top of each cup, and serve immediately.