Trim asparagus by bending them until the break. They will beak at their natural trimming point.
Bring a pot of water to a boil. Meanwhile prepare an ice bath. Drop asparagus into boiling water. Boil for 2-3 minutes, until asparagus turns bright green and is slightly tender. Transfer to ice bath.
Prepare the puff pastry by cutting a 1/2 inch border and poking holes in the center with a fork. Bake in a 400 degree oven for 10 to 12 minutes, until just barely starting to brown.
Meanwhile, cream together the marscarpone cheese, sour cream, and egg in a medium bowl. Add in the shallot, lemon zest, Parmesan, salt, and pepper.
Remove puff pastry from the oven and press down the center. Spread the marscarpone mixture over the center of the pastry. Add a layer of prosciutto on top, then top off with the asparagus spears. Sprinkle with some additional Parmesan and brush the border of the pastry with an egg wash.
Bake at 400 degrees for another 10 to 15 minutes until the border is golden brown and the asparagus is tender.