Preheat the oven to 400 degrees F. Place the veal loin on a cutting board. Cover with pieces of plastic wrap. Lightly pound the meat to 1/2-inch thick. Season both sides with salt and pepper. Place the slices of cheese over the pounded meat. Shave the truffles over the cheese. Roll the veal up tightly and secure with separate pieces of string at 1-inch intervals. In a large saute pan, over medium heat, add 2 tablespoons of the oil. When the oil is hot, sear the veal for a couple of minutes on all sides. Remove from the heat and place in the oven. Roast for about 20 to 25 minutes for medium rare. Remove the veal from the pan and set aside to rest. Place the saute pan back over the heat. Add 1 tablespoon of the olive oil. Add the mushrooms and shallots. Season with salt and pepper. Saute for 3 minutes. Add the garlic and continue to saute for 1 minute. Deglaze the pan with the Cognac. Add the reduction and bring to a simmer. Simmer for 3 to 4 minutes. Remove from the heat and stir in the thyme. Remove from the heat and set aside.
Using a carving knife, remove the string from the veal. Slice the veal into 1/2-inch slices. To serve, arrange the slices in the center of each plate. Spoon some of the mushroom sauce over each slice. Serve immediately. Garnish with fresh thyme leaves.