Lobster Wellington

Name: Lobster Wellington
Ingredients: Four 8-ounce raw lobster tails in the shell, thawed if frozen; 6 tablespoons unsalted butter; One 10-ounce package frozen chopped spinach, thawed and squeezed dry; 2 cloves garlic, finely chopped; Zest of 1/2 lemon (about 1 teaspoon), plus wedges for serving; Kosher salt and freshly ground black pepper; One 4-ounce package sliced fancy mixed mushrooms; 2 teaspoons chopped fresh thyme; 2 sheets frozen puff pastry (from a 17.3-ounce package), thawed; 1 large egg, beaten