Heat the oil in a large skillet over medium-high heat. Add the mushrooms, onion and bacon; cook & stir for about 5 minutes, or until vegetables are tender.
Reduce the heat to medium, and add the cream and dill; cook and stir for about 10 more minutes. Remove from the heat, & stir in the cheese.
Place one sheet of puff pastry on a well-oiled baking sheet, and pour the mushroom filling over the top. Cover with the other sheet, and press the edges together to seal. Make some holes in the top with a fork. Brush the top with beaten egg.
Bake for about 40 minutes in the preheated oven, or until golden brown.