Preheat oven to 400 degrees F. Place a wire rack on a large baking sheet. In a large bowl combine first four ingredients (through cayenne pepper). Add mushrooms; toss to coat. Spread mushrooms on rack.
Bake about 35 minutes or until mushrooms are brown, sizzling, and slightly crisp. Cool 5 to 10 minutes (mushrooms will crisp as they cool). Serve with Smoky Shallot Dip.
Smoky Shallot Dip
In a small bowl combine Paleo Mayonnaise, shallot, thyme, and paprika. Cover and chill until ready to serve.