Step 1: Prepare the Pastry Shells

1. Preheat your oven to 400°F (200°C). Line a baking sheet with parchment paper.
2. Roll out the puff pastry on a lightly floured surface. Using a round cutter (about 3 inches in diameter), cut out 8 circles.
3. Take 4 of the circles and, using a smaller cutter (about 1.5 inches), cut out the center to create rings.
4. Place the 4 whole circles on the baking sheet and brush them with a lightly beaten egg.
5. Place the rings on top of each whole circle, aligning them carefully, and brush the top with more egg wash.
6. Bake for 15 minutes or until golden and puffed up. Remove from the oven and set aside.

Step 2: Cook the Chicken and Mushrooms

1. Heat olive oil and butter in a large pan over medium heat.
2. Add the diced chicken, season with salt and pepper, and cook until lightly golden. Remove from the pan and set aside.
3. In the same pan, add the chopped onion and sauté until softened.
4. Stir in the minced garlic and mushrooms, cooking for about 5 minutes until the mushrooms release their moisture and start to brown.

Step 3: Make the Sauce

1. Sprinkle the flour over the mushrooms and stir well to coat.
2. Gradually pour in the chicken broth, stirring constantly to avoid lumps.
3. Let the mixture simmer for a few minutes until slightly thickened.
4. Add the cooked chicken back to the pan, followed by the heavy cream, thyme, and nutmeg. Stir well and let it cook for another 2-3 minutes.

Step 4: Assemble the Vol-au-Vents

1. Carefully remove the center of each pastry shell to create a hollow space.
2. Spoon the creamy chicken and mushroom filling into each shell.
3. Garnish with chopped parsley and serve immediately while warm.