Heat 1 tablespoon oil in large cast iron or nonstick skillet over medium heat until hot. Add mushrooms and shallots; cook and stir 3 minutes or until tender. Remove from skillet; set aside. Wipe skillet out with paper towels.
Press lemon pepper evenly onto beef medallions. Heat 1 teaspoon oil in same skillet over medium heat until hot. Place 1/2 of beef in skillet; cook about 5 to 7 minutes for medium rare to medium doneness, turning occasionally. Remove; keep warm. Repeat with remaining 1 teaspoon oil and beef.
Add brandy to skillet; cook and stir over medium heat until browned bits attached to skillet are dissolved. Stir in cream and Worcestershire sauce. Add mushroom mixture; cook and stir until sauce is slightly thickened. Add beef; stir to coat with sauce. Sprinkle with parsley, as desired.