Preheat oven 400°F.
Bring a medium pot of water to a simmer, meanwhile rinse chestnuts and cut a slit across the rounded side of the chestnut being careful not cut into the meat too much. It helps to lay the chestnut flat and use a sharp knife or a chestnut knife. Once the water is at a simmer drop in the chestnuts, cover and simmer on low for 10-12 minutes.
Drain chestnuts and arrange in a single layer on a baking tray with the cut side up. Bake for 20 minutes. Remove from oven and cover with a kitchen towel and allow to cool enough to handle. Once cool split open the shell by prying apart at the cut seam to remove the outer shell and release the meaty chestnut.
Coarsely chop 10 chestnuts and save the remainder for another use. They are great eaten as they are or as a salad topper, in stuffing and many desserts.
Increase oven temperature to 425°F.
Heat olive oil in a medium skillet and add shallots and mushrooms. Sauté until soft and moisture from the mushrooms has evaporated, about 5-7 minutes.
In a medium bowl cream together cream cheese, sage, salt, pepper. Fold in the sautéed mushrooms, diced turkey and Gruyere cheese.
Lay the sheet of puff pastry on a sheet of parchment big enough for your baking tray. Roll pastry to a 12"x12" square (the original sheet will be 10"x10"). If using a block of puff pastry roll out to 12"x12".
Cut 1" wide fingers that are no more than 4" long down parallel sides of the pastry square, leaving an uncut center strip that is at least 4" wide (see photo).
Spread the turkey mixture evenly along the uncut center portion of the pastry sheet.
Spread evenly with cranberry sauce and top with chopped chestnuts.
Wrap the pastry by bringing the pastry fingers across the filling, alternating sides as you go and tucking or crimping the ends. It's okay to have a few spaces between fingers.
Using the parchment, move pastry to your baking tray.
In a small bowl whisk together egg and 1 tbsp of water. Brush the prepared pastry with egg wash and bake for 25-28 minutes on middle rack.
Remove from oven and allow to rest for 10-15 minutes before slicing and serving. The center will firm up a little as it cools making it easier to slice and eat.