Preheat the oven to 400°F (200°C). Line a baking sheet with parchment paper.
In a large skillet, heat the olive oil over medium heat. Add the diced shallot and minced garlic, sautéing until fragrant and softened, about 2 to 3 minutes.
Add the fresh baby spinach to the skillet. Cook until wilted, then remove from heat and thoroughly drain any excess liquid to prevent a soggy pastry.
Stir the softened cream cheese, chopped rosemary, lemon zest, lemon juice, salt, and black pepper into the warm spinach mixture until well combined. Set aside to cool.
Pat the salmon fillets completely dry with paper towels. Season both sides with salt and pepper, then lightly brush the tops with Dijon mustard.
Roll out the thawed puff pastry on a lightly floured surface. Cut into 4 equal rectangles, ensuring each piece is large enough to fully encase a salmon fillet.
Spoon a generous amount of the spinach and cream cheese filling into the center of each puff pastry rectangle, then place a seasoned salmon fillet on top of the filling.
Fold the puff pastry edges over the salmon to completely enclose it. Brush the inner edges with the egg wash to seal tightly. Place seam-side down on the prepared baking sheet.
Brush the top of each Wellington with the remaining egg wash and score the top lightly with a sharp knife to allow steam to escape.
Bake for 25 to 30 minutes, or until the pastry is golden brown and crispy, and the salmon is cooked through. Let rest for 5 minutes before serving with green sauce.