Put mushrooms, shallots, and rum in a food processor and pulse til fairly smooth, but still a little chunky. Add salt and pepper to taste. Transfer to a sauté pan and cook til all the moisture is gone and the mixture has reduced by half. Set aside.
Heat about 5 inches of canola oil in a large saucepan to 300 degrees. Cut the slab bacon into 6 even portions. Mix flour and cayenne together and dredge the bacon. Shake off the excess and deep fry for about 5 minutes, or until the bacon is crisp. Remove the bacon to a paper towel.
Add the balsamic vinegar and honey to a sauté pan and reduce it by half. Add the bacon and bathe them in the sauce.
Lay out one piecrust and place the bacon slabs on top, about ½ inch apart. Cut the pate to fit on top of the bacon, about 1/8 inch thick. Place about ½ tsp of the mushroom mixture on top of the pate.
Carefully lay the other piecrust on top, making sure you leave enough room to reach the other piecrust. (Think of ravioli). Place a ring mold (or a drinking glass) that is about ½ inch larger than each Wellington over one of the parcels and press down firmly enough to cut the crust. Repeat for the rest of the parcels. Remove the excess crust.
Using your fingers, roll the edges pf each parcel like you would an empanada. (or you can simply crimp with the tines of a fork). Transfer parcels to a greased baking sheet.
Beat the egg with a little water and brush n top of each parcel.
Bake in a 350 degree over for 15-20 minutes, or until crusts are browned.