Line a baking sheet with parchment paper; set aside.
Crack 1 egg into a bowl and beat until frothy. Add sausage, panko, parsley and shallot; mix until combined.
On a lightly floured surface, roll the puff pastry into a 10 x 10½–inch rectangle. Cut lengthwise into three 3½–inch strips.
Divide the sausage mixture into three portions and spoon down the centre of each pastry strip. Dab one long edge with water, fold the pastry over the filling, and press to seal.
Transfer rolls seam-side down to the sheet and freeze until firm, 10–15 minutes.
Cut each roll into 8 pieces and space 1 inch apart.
Whisk the remaining egg with 1 Tbsp water: brush over the tops.
Bake at 425°F until puffed and golden,15–20 minutes. Let cool slightly before serving.