Preheat oven to 400 F. Brush the tops with the beaten egg/water mixture and bake on a baking sheet for about 25 minutes, or until golden brown. Remove the cut out middle and discard.
In a medium saucepot, melt the butter along with the flour and stir until no more lumps appear. Add in the shrimp stock and whisk until lump-free and thickened, about 5 minutes. Add in the milk, and season with nutmeg, salt and pepper. Stir until thickened over medium heat. Remove from the heat but keep warm.
Melt the butter for the shrimp mixture with the oil in a medium pan over medium low heat. Add in the leek, carrot and celery and sauté until softened, about 6 minutes.
Add in the broccoli, and white wine and bring to a boil for 6 minutes. Add in the shrimp and cook over medium heat until the shrimp turn pink, about 5 minutes.
To assemble, divide the shrimp between the pastry shells, top with the béchamel sauce and garnish with lemon zest and thyme.