Heat 2 tablespoons oil in a 12- to 14-inch nonstick ovenproof saute pan over medium-high heat until it starts to smoke. Add the shallots, mushrooms and thyme and cook until the mushrooms start to soften, about 3 minutes. Add the sausage and cook, stirring occasionally, until the sausage starts to brown, 5 to 6 minutes.
Transfer the mushroom and sausage mixture to a paper towel-lined plate. Wipe the pan clean with a paper towel.
Place the pan back on the stove over medium heat and add the remaining 3 tablespoons oil. Whisk the eggs in a bowl with the cream. Once the oil in the pan starts to smoke, add the egg mixture to the pan, making sure to swirl the pan as it goes in.
Set aside some of the mushroom and sausage mixture for garnish. Gently spread the rest of the mushroom and sausage mixture evenly over the top of the uncooked eggs. Sprinkle with the Gruyere and season with salt and pepper. Transfer the pan to the oven and bake until puffed and just beginning to color, about 18 minutes.
Flip the frittata out of the pan onto a cutting board or sheet pan. Garnish the top with dollops of creme fraiche, watercress and the reserved mushroom and sausage mixture.