Thaw fillets and shrimp, if frozen rinse and pat dry with paper towels. Measure thickness of fillets. Set aside. Cut 4 pieces of parchment paper into 9 x 12-inch heart shapes.
In a 10-inch skillet bring water, lemon, bay leaf, and salt to boiling; add fillets in a single layer. Return to boiling. Reduce heat, then simmer, covered until fish flakes easily with a fork. (Allow 4 to 6 minutes for each 1/2 inch of thickness.) Remove fish, using a slotted spoon; keep warm. Add shrimp to poaching broth. Return to boiling. Reduce heat, then simmer, covered, for 1 to 3 minutes or until shrimp turn pink. Remove shrimp using a slotted spoon, reserving broth; keep shrimp warm. Strain broth, reserving 1/2 cup.
In the same skillet cook mushrooms and onion in hot butter or margarine over medium-high heat for 4 to 5 minutes or until onion is tender but not brown, stirring often. Stir in flour, tarragon, and pepper. Add reserved broth and milk. Cook and stir over medium heat until thickened and bubbly. Cook and stir for 1 minute more. Stir in wine or sherry and parsley; heat through.
To assemble papillotes, place 1 fillet on half of each parchment heart. Arrange one-fourth of the shrimp atop each fillet. Spoon about 1/4 cup sauce over each fillet. Fold the other half of each heart over fillet to form the papillote. Starting at the top of each heart, seal tightly. Place papillotes in a shallow baking pan. Bake in a 400 degree F oven for 10 to 12 minutes or until slightly puffed.
Quickly transfer papillotes to dinner plate. Open papillotes. Serve immediately. Makes 4 servings.