For the rough puff: Combine the flour and salt in a large bowl. Add the butter and use a pastry cutter or your hands to cut or rub the butter into the flour until it is covered with flour and resembles chunky wet sand. There should still be chunks of butter visible in your mixture -- do not overwork.
Add the cold water slowly and start to mix until the dough comes together. It will still be quite shaggy and crumbly.
Lay out a large piece of plastic wrap and dump the dough in the center. Wrap the dough tightly, pressing down firmly to help compress and form it into a square. Allow the dough to rest in the refrigerator for at least 30 minutes and up to 1 day.
Put the dough on a lightly floured surface and roll out to approximately a 10-by-16-inch rectangle. (You should still see the butter marbled in the dough.) Using a letter-folding technique, fold the top third down and bring the bottom third up, folding over the center like a letter. Turn the dough one-quarter and roll out again to three times its length. If the dough is too soft, chill in the refrigerator for 20 minutes. After rolling, repeat the letter fold a second time. Cut the dough in half to make 2 squares. Wrap each in plastic wrap and chill for at least 30 minutes and up to 1 day. You will use half the dough for the strudel.
Preheat the oven to 400 degrees F. Line a baking sheet with parchment.
For the filling: Melt the butter in a medium skillet over medium-high heat. Add the mushrooms, thyme leaves and salt, stirring a little to coat the mushrooms with butter. Spread out and let cook undisturbed until caramelized on one side, about 3 minutes. Stir and continue to saute until golden all over. Add the sherry and continue to stir until all the liquid has cooked off. Set the mushrooms aside until ready to use.
Add the spinach and 2 ounces water to the same pan over medium-high heat and stir as it wilts. Season with salt. When all the spinach is wilted and dark green, drain in a colander. When cool to the touch, wring with your hands to remove as much of the liquid as possible.
Remove a dough square from refrigerator and unwrap onto a well-floured surface. Roll out into a 10-by-16-inch rectangle. Lay the Camembert down the center of the dough, leaving 2 inches empty at both ends. Layer the spinach evenly over the Camembert, followed by the mushrooms. Sprinkle the bacon over the vegetables and then the Parmesan. To close your strudel, fold in the shorter ends towards each. Next, pull the top flap of dough up and over the center, covering the filling. Lastly, close the strudel with the final flap.
Beat the egg in a small bowl and brush over the entire strudel. Sprinkle with flaky salt and decorate with thyme sprigs. Cut 6 vents on top and bake until the strudel is golden brown, 35 to 40 minutes. Rest 5 minutes before serving.