Lamb Mushroom and Oregano Sausage Rolls Recipe

1 tbsp olive oil
1 small yellow onion, finely chopped
1 small carrot, finely diced
1/2 cup mushrooms, chopped
1 garlic clove, minced
1 tsp dried oregano
1 slice white bread, roughly chopped
1/4 cup milk
1 lb fresh ground lamb
2 sheets frozen puff pastry
1 egg, whisked
salt and pepper