Place a frying pan over medium-low heat.
Add the olive oil. Gently sautee the onion, carrot and celery until soft & aromatic (approximately 5 minutes), stirring often. Add the garlic and saute for 30 seconds. Add the ground fennel and also the rinsed lentils. Cook, stirring for 1 minute.
Remove the pan from the heat and allow the ingredients to cool for 10 minutes.
Meanwhile, lay the pastry sheets out on your benchtop to defrost.
In a large bowl, add the cooled ingredients from the pan. Be sure to scrape the pan well to get all the lovely base pan flavours in the bowl. Add the parsley, cheese, panko bread crumbs, worcestershire sauce, tomato sauce & just 1 of the eggs (reserve the other for glazing). Season well with sea salt & freshly cracked black pepper.
Cut each pastry sheet in half to leave you with six rectangular strips of pastry. Divide the filling evenly between the sheets and press the filling into a snake-like shape.
Crack the remaining egg into a small bowl and gently whisk. Paint the exposed pastry lightly with the egg mixture. Gently fold the pastry over the mince to create a sausage roll, pressing the edges firmly with the back of a fork where the pastry meets to make sure it is tightly sealed.
Brush the top of the vegetarian friendly sausage roll with the remaining egg wash.
If you have the time, place the uncooked vegetarian sausage rolls in the fridge for 30 minutes. This makes them much easier to cut.
Preheat your oven to 180oC. Bake the sausage rolls for approximately 30 minutes, or until golden.