Moisten your cutting board with a damp towel. Layer three pieces of plastic wrap on the board. Take two to three pancakes (depending on the width of your beef tenderloin) and trim into squares the length of the meat, then line them up vertically on the plastic. Layer the prosciutto slices on top of the crepes, then spread the mushroom duxelles over the prosciutto. Season with salt and pepper. Pour resting juices from the beef over the mushrooms, then place beef at the bottom of the crepe. Using the plastic wrap to lift as you pull the crepe over the beef, roll the beef up completely, smoothing plastic and twisting the ends to form a tight package. Refrigerate for 20 minutes.
Preheat convection oven to 425°F or non-convection to 450°F.
Moisten cutting board again, then layer three more pieces of plastic wrap. Place puff pastry in center, then use a rolling pin or dowel to evenly roll it to 1/8-inch thick, trimming if necessary to fit your tenderloin. Unwrap beef and place on the pastry 1/3 of the way up. Lightly brush pastry with egg wash and season with salt and pepper. Lift the plastic wrap up and roll the pastry over the beef until the edges meet, then massage the pastry, smoothing it evenly across and sealing the seam.
Twist the plastic, taking excess pastry with it, until pastry melts together, and cut off the ends. Unwrap the Wellington, discard the plastic and smooth the ends, then apply more egg wash. Use the back of a knife to gently score the top of your Beef Wellington and create a decorative pattern. Season with more salt, place on a parchment-lined tray, and insert thyme sprig. Refrigerate for 5 minutes.