Preheat oven to 400°F (200°C).
In a skillet, melt butter over medium heat. Add shallots and garlic; sauté until fragrant.
Add finely chopped mushrooms and cook until moisture evaporates.
Add fresh spinach and cook until wilted. Remove from heat and stir in cream cheese, lemon zest, fresh dill, salt, and black pepper. Set aside to cool.
Roll out puff pastry sheet on a floured surface and cut into four equal squares.
Place a spoonful of spinach-mushroom mixture in the center of each pastry square.
Season salmon fillets with salt and pepper, then place one fillet on top of the filling on each pastry square.
Fold pastry over salmon to enclose completely, sealing edges with egg yolk.
Brush the outside of each Wellington with egg yolk for a golden finish.
Place Wellingtons on a baking sheet lined with parchment paper.
Bake for 25-30 minutes or until pastry is golden brown and salmon is cooked through.
Prepare dill and lemon butter sauce by melting butter and stirring in fresh dill and lemon zest; drizzle over plated slices.
Slice each Wellington and plate on a white round plate. Drizzle sauce around and garnish with a small sprig of dill on top.