In a large skillet over medium high heat, add the olive oil and one tablespoon of butter to melt. Add the onions and shallots and cook, stirring until starting to soften. Add the mushrooms and cook until starting to brown. Add the pecans and cook until all liquid has evaporated. Stir in one tablespoon of bourbon and stir, cooking for one minute. Turn off the heat and stir in the goat cheese until just melted. Season the mixture with the smoked paprika and one teaspoon of salt. Allow the mushroom mixture to cool for a bit and then add to a food processor and process until smooth. Mushroom mixture can be made up to two days ahead. Keep covered in refrigerator.
If making the same day, to the same pan add the two tablespoons of vegetable oil and heat over medium-high heat. Season the center cut beef tenderloin well with salt and quickly brown the outsides of the beef in the pan with the oil (about 5 - 7 minutes total).
Remove the beef to a cutting board and let rest for a few minutes. Cut the butchers string off the tenderloin using kitchen shears.
Preheat oven to 400 degrees F.
Lay out one sheet of thawed puff pastry onto a clean cutting board and use a rolling pin to smooth out the pastry and make it big enough to wrap around the beef.
Spread the mushroom mixture evenly over the surface of the puff pasty. Place the browned beef tenderloin in the center of the pastry and wrap it. Place the seam side down onto a sheet pan lined with a silpat liner or parchment paper.
Place the pan in the refrigerator with the sealed beef for 15 minutes.
If desired, cut decorative shapes out of the second sheet of puff pastry.
Beat together the egg and water and brush the pastry surface all over with the egg wash. Decorate the top of the Wellington with the additional puff pastry shapes and brush again with the egg wash.
Bake the Wellington for 40 minutes, or until the puff pastry is a dark, golden brown and the internal temperature of the beef registers 135 degrees F for medium-rare.
While the Wellington is baking, add the beef broth, cracked black pepper and fresh thyme to a sauce pan. Bring the broth to a boil and reduce by half. Reduce the heat to simmer and remove the thyme. Add the bourbon and allow to simmer for one minute. Whisk in the mustard, whipping cream, butter and 1/2 teaspoon of salt. Serve with the beef Wellington.