Vegan sausage rolls

Ingredients

• Light cooking spray oil
• 1 medium red onion, diced
• 200g chestnut mushrooms, sliced
• Small handful fresh sage, roughly chopped
• 1 clove garlic, sliced
• 1 teaspoon smoked paprika
• Freshly grated nutmeg, to taste
• Freshly ground black pepper, to taste
• 1 tablespoon vegan Worcestershire sauce
• 1 x 400g can green or brown lentils, rinsed and patted dry
• 50g rolled oats
• 4 sheets pre-made vegan filo pastry
• Unsweetened soya milk or similar, for glazing