Heat the olive oil in a large heavy-based pot over medium heat then add in the onion, garlic, celery, and mushrooms. Saute for 10 minutes.
Pop in the thyme leaves along with the Worcestershire sauce, Italian herbs, crushed tomato, and mushroom stock. Stir it and bring it to a boil. Then turn it down to simmer for 20 minutes or until the liquid has mostly cooked away and you are left with a lovely thick sauce.
In the meantime preheat the oven to 350F. Then make the cheese sauce by melting the butter in another medium-sized pot over medium heat. Sprinkle in the flour and whisk it together, it should form a lovely thick slurry. Slowly pour in the milk, and sprinkle in the nutmeg, whisking the whole time until it becomes thick. Once the sauce is thick take the pot off the heat and mix in the cheese.
Grate ¼ cup of parmesan into the ragu pot and stir.
Now that your mushroom sauce has cooked and your cheese sauce is done you can start assembling your lasagna by spreading a layer of mushroom sauce into a 9x13 inch lasagna dish, then a layer of lasagna sheets then a layer of cheese sauce. Repeat this two or three times until all the sauce is cooked
Add the mozzarella on top and then cover with foil and bake for 25 minutes with the foil on. Gently remove the foil and bake for another 15 minutes until the cheese is bubbling and golden brown on top.