1. Preheat oven to 400 F. and arrange rack in center. Toss together squash, turnip, parsnip, 1 tablespoon oil, 1/2 teaspoon salt and 1/4 teaspoon pepper in a medium bowl. Spread out evenly on a large baking sheet and roast until forktender, about 25 minutes.
2. Meanwhile, heat remaining 1 tablespoon oil in a large deep skillet over moderately high heat until hot but not smoking. Add onion and celery; cook, stirring occasionally, until softened, about 5 minutes. Add1/4 teaspoon salt. Cook until translucent, about 5 minutes. Add Brussels sprouts, mushroom and butter. Saute until butter has melted completely. Sprinkle in flour and stir until vegetables are coated; cook 1 minute. Add broth, vinegar, oregano, remaining 1/4 teaspoon salt and 1/4 teaspoon pepper; bring to a boil. Cook until thickened, 2 to 3 minutes. Remove from heat and stir in cheese. Add roasted vegetables and stir until completely coated with sauce. Let cool.
3. Meanwhile, roll out 3 piecrust sheets, 1 at a time, on a lightly floured surface using a floured rolling pin, into 15-inch rounds. Using a 6 1/2-inch round cutter, cut out 4 rounds from each. Arrange rounds, in a single layer, on a cookie sheet and cover with a piece of parchment paper or damp cloth; set aside.
4. Roll out remaining 2 piecrust sheets into 12-inch rounds. Using a 4 1/2-inch round cutter, cut out 6 rounds from each. Using a small Halloween cookie cutter, cut out 1 shape in center of each round. Arrange rounds, in a single layer, on a cookie sheet and refrigerate 10 to 15 minutes.
5. Meanwhile, preheat oven to 425 F. and arrange rack in lower third. Place one 6 1/2-inch round in each cup of 1 (12-cup) standard muffin pan and press gently to fit, pushing dough up sides to reach over top. Fill each cup with 1/2 cup vegetable mixture. Cover each with one 4 1/2-inch round and pinch together dough around edges to seal. Lightly brush tops with egg.
6. Bake until crust is golden and filling is bubbling, about 25 minutes. Transfer pies in pan to rack and cool 10 minutes before unmolding.