Preheat oven to 425°F. Line a baking sheet with parchment paper and set aside.
Set a large skillet over moderate heat with the olive oil. Season both sides of the chicken cutlets with salt and pepper. Once hot, carefully lay the chicken in the skillet in a single layer. Cook until browned on both sides, about 2 to 4 minutes per side, but don't worry about having them be cooked all the way. They'll continue to cook in the oven. Remove from heat, transfer the chicken to a plate and set aside to cool.
Unwrap the thawed puff pastry sheet and roll out slightly to make it larger and/or remove any creases. Brush one side (work lengthwise, so you want the longer side) with Dijon mustard. Lay the cheese slices on top down the line. Then top with the ham slices. Place the cooled chicken cutlets on top. Brush the edge of the puff pastry with egg wash and then fold over to cover the chicken. Crimp all the edges and then make a few slits on top with a sharp knife to release the steam. Brush the whole thing with egg wash and then sprinkle with black pepper. Bake until deep golden brown and flaky, about 25 to 30 minutes.
Meanwhile, set the skillet you used to brown the chicken over moderate heat with the butter. Once melted, whisk in the flour and cook for about 30 seconds or so. Slowly whisk in the milk and then add the Dijon mustard. Cook over low heat until slightly thickened. Stir in the Parmesan and season with a pinch of salt and pepper.
Once the Wellington is done, remove from the oven and allow to cool slightly before slicing and serving with the cream sauce. Enjoy!