In a large saucepan, heat the remaining 3 Tablespoons of butter over medium heat. Whisk in flour and cook, for about 2 minutes. Whisking vigorously to prevent lumps, add mushroom broth gradually and increase heat to medium-high. Bring to a simmer and cook for 1 minute. Remove from heat.
Preheat to 425F. Combine fennel, onions, 1 Tablespoon butter, and 1 cup of water in a small saucepan with salt and pepper. Bring to a boil over medium-high heat, cover, and reduce heat. Simmer until fennel and onion, crisp 5-8 minutes. Uncover; cook until liquid evaporates 15-18 minutes. Let cool.
Heat the remaining 2 Tablespoons of butter in a large cast iron skillet over medium heat. Cook thyme sprigs and oyster mushrooms, occasionally stirring, until mushrooms are lightly browned and tender, 6-8 minutes. Let cool and remove thyme. Add fennel onions mixture into the mushroom. Spoon gravy over the top. Taste and season with salt, pepper or acid if needed. Add on the crust. Then bake for 25-30 minutes