Rinse the morels and soak in warm water. Place the sweetbreads in cold water, bring to a boil and simmer for 5 minutes. Refresh in cold water and remove all the membranes and fatty bits. Melt the butter in a casserole and when it foams, add the shallots and the drained and roughly chopped morels. Keep the water. Cook over low heat. Cover. After 10 minutes, add the sweetbreads. Add the morel water and wine, salt and pepper and simmer for 25 minutes. Remove the sweetbreads and cool. In the meantime reduce the sauce by half, put aside. Preheat the oven to 425F. When the sweetbreads are cool, cut them into pieces the size of an egg. Roll out the pastry to an 1/8-inch thick and cut into rectangles large enough to wrap a piece of sweetbread. Wet the edges to seal in the sweetbreads, decorate with pieces of leftover pastry and glaze with a beaten egg. Bake for about 20 minutes until the pastry is cooked. Whisk an egg with the cream and stir into the sauce, cook without boiling until it thickens. Serve the sauce with the sweetbreads.
