MAKE CORNUCOPIAS: Preheat oven to 425F degrees. Spray 2 baking sheets with cooking spray.
Fold 6 18 -long aluminum foil sheets into quarters. Roll each one into a cone. Bend the tail end of the foil cone, if desired.
In bowl, beat egg with 1 tbsp water and a pinch of salt. Place 1 puff pastry on a lightly floured surface. Gently pull the ends to stretch it to 10 inches wide. Cut the pastry dough into twenty 1/2-inch strips. Loosely wrap 1 of the strips around the pointed end of the foil cone. Spiral the pastry strip around the cone, overlapping the edges as you wrap. Add a new strip by brushing the end of the pastry strip with the egg wash to adhere. Wrap the foil cone with 4 more strips of pastry, gluing with the egg wash as you wrap.
Place the cones on their sides on the prepared baking sheet. Brush the tops with the egg wash.
Bake for 20-25 minutes, or until golden.
Allow to cool before gently pulling the foil cones away from the cornucopias.
MAKE THE GRAVY: In a pan heat oil. Add onion, carrot, mushrooms, garlic, salt, and pepper. Cover. Cook 1/2 hour, or until soft, stirring occasionally.
Uncover, increase the heat to medium, and cook 7-10 more minutes, or until browned and carmelized. Add wine. Simmer 2-3 minutes or until 2/3 of the liquid is evaporated. Stir in sun-dried tomatoes, marjoram, thyme,and 2 1/2 cups water. Reduce heat. Simmer for 30 minutes. Strain into a large measuring cup.
Heat 1 tablespoon of oil over medium heat. Add flour and cook until the flour turns golden (about 5 minutes). Whisk in the strained vegetable liquid. Cook 3-5 minutes, stirring constantly until thickened.
MAKE THE VEGETABLES: Preheat the oven to 450F degrees. Toss all the vegetable ingredients (cauliflower, squash, zucchini, carrots, pearl onions, mushrooms, olive oil, sage, marjoram, thyme, salt and pepper) in a large bowl and mix together.
Spread the vegetable mixture on a large baking sheet. Roast 30-35 minutes, or until brown and tender, turning every 10 minutes.
ASSEMBLE CORNUCOPIAS: Toss the vegetables with the gravy and fill the cornucopias.