In a medium bowl, mix together the panko crumbs, milk and 1 tablespoon of the Marsala wine. Allow to rest for a few minutes.
Add in the ground turkey, cheese, egg, parsley and the pepper. Using a fork, mix all of the ingredients until well incorporated. Refrigerate overnight or a minimum or 3 hours.
Remove the mixture from the refrigerator and form into balls. Set onto a lined sheet tray. If the balls become too soft to handle, you may place them on a sheet tray in the freezer for about 10-15 minutes.
In a straight sided skillet, heat about 1 inch of extra virgin olive oil until hot. Place the balls into the pan but do not crowd them. Place the remaining balls in the refrigerator or freezer as these cook. This will help retain their shape.
Fry the balls, rotating often until they are golden brown. Remove to a paper toweled plate and continue until all the balls are done.
In another straight-sided skillet, heat 1 tablespoon olive oil over medium high heat. Add in the sliced mushrooms and cook, stirring often with a wooden spoon, until the mushrooms become brown.
Add in the shallot. Reduce the heat and stir in the flour and remaining 1 tablespoon olive oil. You will want this to form a paste.
Add in 1/3 cup Marsala wine and stir until smooth. Using a whisk, add in the chicken broth and whisk for about 5 minutes.
Add the turkey balls back into the mushroom sauce and simmer for an additional 5 minutes. Serve with additional shaved cheese.