Heat 4 tablespoons of the butter in a large skillet over medium heat. Add the shallots and cook, stirring often, until softened, 3 to 5 minutes. Stir in the mushrooms and cook, stirring often, until all the liquid has evaporated. Add the thyme and the sherry. Increase the heat to medium-high and cook until the mixture is almost dry. Remove the skillet from the heat. Transfer to medium bowl, cool slightly, stir in the sour cream, and season with salt, pepper, and paprika, to taste.
Preheat oven to 350 degrees F.
Melt the remaining 4 tablespoons of butter. Roll out bread between two pieces of waxed paper with a rolling pin until very thin. Brush bread on both sides with melted butter. Place 1 teaspoon of the filling in the center of each sliced. Fold making a triangle shape, trim edges. Press with your fingers to tightly seal. Brush the tops and bottoms with melted butter. Brush egg wash over tops of turnovers, sprinkle with paprika. (At this point, the turnovers can be placed in a zippered plastic freezer bag and frozen for future use.) Place on parchment lined baking sheet and bake for 15 minutes (20 to 25 minutes if taken out of the freezer). Serve warm.