In a large sauté pan set over medium-high heat, cook the shallots and garlic in oil for 7-10 minutes or until soft and starting to colour. Set aside to cool to room temperature.
In a large mixing bowl, combine the ground turkey, egg, walnuts, bread crumbs, Worcestershire sauce, sage, salt, pepper and the cooled shallots. Using your hands, knead the mixture until well combined.
Divide into 16 equal portions, and roll each one into a ball.
Remove the stems from the mushrooms and discard.
Arrange the caps on a platter, and season the insides with a little salt and pepper.
Place a ball of the turkey mixture onto each mushroom cap, and gently pat down to fill the cap.
Preheat one side of a lightly-oiled grate over high heat (or, if using charcoal, pile the coals to one side).
As soon as the grill is hot, arrange the mushrooms on the cool side of the grill.
Cover and cook over indirect heat with the cover closed for 10 minutes.
Top each mushroom with a pinch of cheese, then close up again and continue cooking for 5-10 minutes, or until the stuffing registers an internal temperature of 165F (74C) and the cheese is bubbly and browned. Serve immediately.
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