Preheat the oven to 400 degrees F and line a sheet pan with parchment paper.
Heat the butter and olive oil in a large skillet over a medium-high heat. Sprinkle the steak chunks with salt and pepper. When the butter has melted and the oil is hot, add the steak chunks and sear them for about 45 seconds per side. (The steaks will only be partially cooked at this stage.) Remove and set aside to partially cool.
Add the onion and thyme to the same skillet and stir. Allow to continue cooking while you place the mushrooms in a food processor and pulse until they are finely chopped. Add the mushrooms to the skillet and stir to combine. Cook, stirring, until the mushrooms are golden and the liquid has evaporated from the skillet, 8 to 10 minutes. Remove the skillet from the heat, then add the Dijon mustard and stir to combine.
While the mushrooms are cooking, lay out the puff pastry on a lightly floured surface. Using a rolling pin, roll the pastry to a 12-by-16-inch rectangle. Cut into 12 equal squares by cutting 4 long strips, then cutting each strip crosswise 3 times.
Place a small amount of the mushroom mixture (known as duxelles) into the center of each square. Top each square with a piece of the steak. Fold the puff pastry up and over the steak, totally encasing the steak and mushroom mixture inside. Place on the prepared baking sheet with the smooth side facing upwards. Repeat with the remaining pastry, duxelles and steak.
Brush each bundle with the egg yolk and sprinkle with the sea salt. Bake until golden, 16 to 18 minutes. Allow to cool slightly. Garnish with the chopped parsley and serve with the horseradish sauce. Enjoy.