To a large saute pan over medium heat, add the oil, mushrooms, garlic and paprika. Season with salt and pepper, to taste, and saute the mushrooms until brown and tender, about 3 to 4 minutes. Remove the mushrooms to a food processor and add the mustard. Pulse until coarsely ground. Transfer the mixture to a bowl and let cool.
In a small bowl whisk the egg together with 2 tablespoons of water, to make an egg wash, and set aside.
Roll out the puff pastry on a lightly floured flat surface. Lightly dust the top of the pastry with flour and roll out, using a rolling pin, until it is 1/4-inch thick. Cut out 6 large rounds about 5 inches in diameter. You can use the lid of a small pot to cut out the rounds.
Put a heaping tablespoon of the mushroom filling in the center of 1 of the puff pastry rounds. Add a heaping tablespoon of the cubed tenderloin on top of the mushroom mixture. Season with a salt and pepper, to taste. Brush the edge of the lower half of the puff pastry round with egg wash. Fold the upper half of the puff pastry round over the filling to make a half moon. Press the edges together and crimp with the tines of a fork to seal. Put on a sheet tray lined with parchment paper. Repeat with remaining rounds and filling. Put the Wellzones in the refrigerator until the dough is cold and firm, about 30 minutes
Preheat the oven to 400 degrees F.
Brush the tops of the Wellzones with the egg wash and bake until golden brown, about 20 minutes. Remove from the oven to a serving platter and serve hot with the cheese sauce.
While the Wellzones are baking, melt the butter in a saucepan over medium heat. Stir in the flour and cook for 2 minutes. Whisk in the milk, beer, Worcestershire sauce, paprika, and white pepper and bring to a simmer. Stir in the cheese and cook until completely melted and combined. Remove from heat and serve with the Wellzones.