In a saucepan, heat butter over medium-high heat. Add mushrooms. Cook and stir until almost all the moisture is gone from the mushrooms.
Stir in flour and ¼ teaspoon pepper until blended. Gradually add cream. Bring to a boil and cook and stir for 2 minutes or until thickened. Remove from the heat and set aside.
In a bowl, combine egg yolk, onion, 2 tablespoons mushroom sauce, salt and remaining ¼ teaspoon pepper.
Crumble beef over mixture and mix well.
Shape beef mixture into 4 loaves.
Unroll crescent dough and separate each roll into 2 rectangles. Press perforations to seal.
Place 1 meat loaf on each rectangle. Bring edges together and pinch to seal. Spray the bottom of each roll with canola or other high heat cooking oil, then brush the tops and sides with beaten egg.
Preheat air fryer to 300°F. Place the rolls in the fryer (you may need to do these 2 at a time depending on the size of your fryer) and cook until golden brown and a thermometer inserted into meat loaf reads 160°, 18-22 minutes (your time may vary depending on your fryer).
While the rolls are cooking, add ¼ cup cream to the mushroom, egg mixture, stir stir in the parsley, bring to a boil over medium high heat, then reduce heat to low and stir frequently until the sauce is of the consistency of gravy. Serve sauce with Wellingtons.