Preheat your oven to 200°C (400°F). Roll out the puff pastry on a lightly floured surface to about 4mm thick. Using a 10cm round cutter, cut out 8 circles of pastry. From 4 of these circles, cut out a smaller 6cm round from the centre, creating rings.
Place the whole circles on a lined baking sheet. Brush the edges with egg wash (whisked egg yolk with milk) and carefully place the rings on top of each base, aligning them perfectly. Brush the top with egg wash, avoiding the edges (to ensure an even rise). Prick the centre with a fork. Bake for 15-18 minutes, until puffed and golden. Allow to cool slightly, then carefully remove the centre to create a hollow space.
In a large skillet over medium heat, melt 1 tbsp butter. Add the diced chicken, season with salt and white pepper, and sauté for 5 minutes, until lightly golden. Transfer to a plate. In the same pan, melt another tablespoon of butter and sauté the shallots for 1 minute before adding the mushrooms. Cook for another 3 minutes until soft.
Reduce the heat to low. Sprinkle 2 tbsp flour over the shallots and mushrooms, stirring continuously to coat. Cook for 1 minute to remove the raw flour taste. Slowly pour in the chicken stock, stirring constantly to create a smooth mixture.
Once the sauce thickens slightly, stir in the heavy cream and Dijon mustard. Add the cooked chicken and ham, mixing well. Let simmer on low heat for 5 minutes until the flavours meld. Season with nutmeg, salt, and white pepper. Adjust consistency with more stock if needed.
Spoon the warm filling into each vol-au-vent shell, ensuring an even distribution.
Garnish with finely chopped fresh parsley. Serve immediately while the pastry is crisp and the filling is creamy.