Roll out the puff pastry on a lightly floured surface into an oblong about 40 × 15 cm/16 × 6 inches. Trim the edges and cut into four 10 × 15 cm/4 × 6 inch rectangles. Lay the pastry on a baking sheet and leave in the fridge to relax for 30 minutes. Brush with beaten egg and sprinkle with poppy seeds. Bake in a preheated oven, 240°C/475°F/gas mark 9, for 5–10 minutes, until well risen and golden brown. Split each rectangle in half, horizontally, to give a base and a lid, and place each base on a warmed serving plate. Keep bases and lids warm.
While the pastry is cooking, slice the sweetbreads. Melt the first lot of butter in a pan and sauté the sweetbreads and mushrooms for 5 minutes. Add a dash of lemon juice, and salt and pepper to taste. Stir in the Marsala and stock, increase the heat and bubble until reduced by a third. Taste and adjust seasonings then whisk in the chilled butter until incorporated. Spoon on to the four bases, top with the lids and serve.