Heat oven to 220C/200C fan/gas 7. Line a baking sheet with baking parchment.
Heat the oil in a small, non-stick frying pan. Tip in the shallot and fry for a few mins until softened. Leave to cool. Meanwhile, mash the lentils in a bowl with the back of a spoon, then stir in the rest of the ingredients, the shallot, a small pinch of salt and a good grating of black pepper. Chill for 20 mins (not essential but makes it easier to shape).
Halve the filling. Lightly flour the work surface and, using your hands, roll each half, one at a time, to a 28cm-long sausage shape (picture 1) – dust more flour on the work surface if it starts to stick. Set aside.
Roll out the pastry on a clean, lightly floured work surface to a 28cm square. Cut in half to give 2 rectangles. Lay one of the sausage shapes along one of the long edges of one pastry rectangle. Roll the pastry around it to almost enclose (picture 2), then brush a little milk down the opposite long side. Roll the join underneath and press lightly down to seal. Trim off the ends to neaten if necessary, then slice into 8 rolls (picture 3). Place on a baking sheet, with the joins underneath. Using the blunt side of the knife, make 3 indents on top of each roll (picture 4). Repeat with the rest of the pastry and filling. Brush the tops with a little milk.
Bake for 18-20 mins until golden and slightly puffy. Remove from the sheet and cool on a wire rack. Serve warm or cold.