Preheat oven to 350°F (175°C)
In a frying pan, sautee onion, celery, and garlic on medium high heat, until vegetables are soft. About 10 minutes.
In a large bowl, add the beaten egg, bread crumbs, lamb, rosemary, parmesan, coriander, salt, pepper, nutmeg, parmesan, and the vegetable mixture, and mix until combined. In order to test for flavor, I like to test the mixture by taking a teaspoon full of the lamb mixture and cooking it in a small pan on medium heat. After tasting, if it needs any more salt, or any other ingredient, add more! Trust your instincts here.
Flour a clean surface and roll out the puff pastry dough. With a knife, cut the puff pastry sheet in half, then cut again lengthwise. You should have 4 long pieces to work with. Work with one piece at a time, place the other 3 on a plate or baking sheet and in the refrigerator so that it stays firm.
Lay out the sausage mixture on the puff pastry piece, leaving half an inch on each side, brush one side with egg wash and form into a tight log. Repeat with the other 3 pastry pieces.
With a sharp knife, cut each log into 2 inch pieces seam side down to make them mini sausage rolls, then using the remaining egg wash to brush each one and top with sesame seeds (optional).
Bake in the oven on parchment paper lined sheet pan for 30 minutes and the puff pastry is golden brown. Serve with your favorite dipping sauce ( I like dijon mustard, but ketchup is also a popular option.)