Heat a skillet with olive oil on medium-high heat.
Add in the mushrooms, garlic, shallot, kosher salt, and black pepper. Sauté for 15 minutes or until the mushrooms have softened and water has evaporated.
Remove the mushrooms from the skillet and put them into a medium bowl to cool.
Stir the goat cheese, parsley, and thyme into the mushroom mixture once it cools.
Stack 3 sheets of filo dough and brush all over with melted butter, then repeat until you have created a stack with 6 sheets.
Repeat the process for a second stack.
Face the sheet of filo dough long end towards you.
Divide the mushroom mixture in half and place each onto the centres of the filo dough stacks.
Tuck the short ends towards the centre and roll up towards the top.
Brush the seam with melted butter and face the whole pastry seam-side down.
Brush both pastries with the remaining butter.
Cut slashes with a knife along the tops of the pastries to prevent them from steaming and getting soggy.
Remove the crisper plates and divider from the COSORI Air Fryer basket.
Place both pastries into the basket seam-side down.
Select Grandzone, then select the Bake function. Adjust temperature to 155°C and time to 30 minutes, then tap Start/Pause.
Remove when done and set on a rack to cool for 20 minutes, then slice and serve.
