Preheat the oven to 200°C (180°C fan oven) Gas Mark 6. Soften the chopped shallots in the oil in a small frying pan then allow to cool.
When the shallots are cool, transfer to a mixing bowl. Squeeze in the meat from all the sausages, discarding the skins. Sprinkle over 1 tsp of the fennel and the parsley and mix everything together.
Unroll the pastry and cut it in half to make two long, thin strips.
Divide the sausage mixture roughly in two, and shape the first half into a thin sausage running alongside the longer edge of one of the pastry strips. Tightly roll the sausage meat up inside the pastry, rolling the whole log on a lightly floured surface a few times at the end to stick the join. Turn the long sausage roll over so the seam is underneath, then brush all over with some more egg and sprinkle with half of the remaining fennel seeds. Use a sharp knife or scissors to cut into 6 mini sausage rolls.
Repeat step 4 a second time so you end up with 12 sausage rolls. Space them on a baking sheet and bake for 20-25 minutes until golden, crispy and cooked through.