In a medium fry pan over medium-low heat, saute the shallots and mushrooms in the olive oil for about 10-15 min. or until the mushrooms and shallots are soft. Salt and pepper to taste. Remove from heat and allow to cool.

Preheat oven to 375F. In a large bowl combine the eggs, salt, pepper, thyme and milk. Whisk well together. Add the Canadian bacon, cheeses, cooled mushrooms and shallots, and a pinch of nutmeg. Stir to combine. Cut 12, 5x5" squares of parchment paper. Carefully place the parchment paper in a muffin pan, working one at a time and fill the cups with the egg mixture. Repeat until all 12 cups are filled. Bake for 20-25 min. or until golden brown and the eggs are set. Let frittatas cool slightly and then remove from pan.