Preheat your oven to 200C/400F/Gas 6 and line a baking tray with baking parchment.
To make the choux buns, put the butter, salt and 300ml/10fl oz water into a large saucepan. Heat gently until the butter has melted, then bring to the boil. Immediately remove from the heat and tip in the flour and thyme. Beat with a wooden spoon to form a smooth ball of dough that should leave the sides of the pan.
Now vigorously beat the eggs into the hot dough, a little at a time. This takes some elbow grease! As you add the egg, the dough will become stiff and glossy. Stop adding the egg if the dough starts to become loose – but you should use up all or most of it.
Put the dough in four large blobs, each about 10cm/4in across, on the prepared baking tray. (Alternatively, you can pipe the choux onto the tray.) Sprinkle the parmesan over the dough.
Bake for 30 minutes in the centre of the oven until well risen and golden-brown. Then move to the bottom shelf for a further 10 minutes to ensure the centres are cooked. The buns should be crisp and dry.
Remove from the oven and split one side of each bun to allow the steam to escape. Put on a wire rack to cool.
For the filling, melt the butter with the oil in a large frying pan. Add the shallot and gently fry for a few minutes until soft but not coloured. Add the mushrooms, garlic and thyme. Cook for around 10 minutes over a high heat, stirring often, until the mushrooms are reduced in volume by about half, are buttery and soft and their liquid has evaporated.
Add the sherry and crème fraîche and simmer for around 10 minutes until the sauce has reduced.
Stir in the lemon juice and parsley and season with salt and plenty of black pepper.
Cut each choux bun fully in half, fill with the warm mushroom mixture and serve.