Put the chorizo into a large frying pan and fry gently for 2-3 minutes until the fat runs. Add the onion and celery and cook over a medium heat for about 6-8 minutes, stirring often.
Add the mushrooms and cook for a further 4-5 minutes, stirring often. Remove from the heat and stir in the parsley, thyme and breadcrumbs. Mix in 2tbsp of the beaten egg. Season with salt and pepper and leave to cool.
Preheat the oven to 210°C, fan oven 190°C, Gas Mark 6. Line 2 baking sheets with greaseproof paper.
Roll out the pastry on a lightly floured surface into a rectangle measuring 28cm x 40cm, trimming the edges to neaten. Cut into 2 strips measuring 14cm x 20cm. Divide the filling into two, and roll each portion into 2 long sausage shapes to fit the length of the pastry strips. Brush the edge of the pastry with beaten egg, then fold over to encase the filling. Use a sharp knife to cut into individual sausage rolls.
Arrange the sausage rolls on the baking sheets and brush with the remaining beaten egg. Bake for 15-20 minutes until risen and golden brown. Serve hot or cold.