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For the dough, mix together egg, oil, juice and 1/4 cup water in a medium bowl until combined. Add both flours and mix until dough is smooth. Cover and refrigerate for at least 1 hour.
Meanwhile, for the filling, mix together pumpkin, feta cheese, chopped sage, salt and pepper. Set aside. Heat oil in a large skillet over medium high heat until hot but not smoking. Add shallots and cook until translucent and aromatic, about 1 minute. Add mushrooms and cook until they have released their liquid, 3 to 5 minutes. Stir in wine, scraping to release any browned bits on the bottom of the skillet. Cook until wine has evaporated, about 2 minutes. Set skillet aside.
Preheat the oven to 375°F. Remove dough from refrigerator about 15 minutes before you plan to assemble pies to allow it to soften before rolling. Divide dough in half. Working on a well-floured surface, roll each piece of dough into an 8-inch circle. Divide lentils between the two pieces of dough and spread out to cover each, leaving a 1/2-inch border. Top each with half of the pumpkin mixture, followed by half of the mushroom mixture. Moisten the edge of the dough with a little water, then fold each circle over the filling to make a half-circle and seal each pie by pinching its edges between your fingers firmly. Beat egg yolk and 1 tablespoon water together in a small bowl to make an egg wash. Brush each pie with a bit of the egg wash, then poke 3 or 4 holes in the top of each to allow moisture to escape. Arrange whole sage leaves on top of the pies, brushing the bottom of each leaf with a bit of the egg wash to secure them in place.
Bake pies on a parchment paper-lined baking sheet until golden brown, 25 to 30 minutes. Let cool for 10 minutes before serving.