To make arancini, in saucepan, heat 2 tablespoons of the olive oil over medium heat. Add onion and thyme; cook until onion is translucent. Add rice; cook over high heat 2-3 minutes or until toasted. Add wine; season with salt and pepper. Cook until wine is fully absorbed; reduce heat to medium. Add stock a ladleful at a time, stirring constantly. When each addition of stock is absorbed, add another ladle and continue stirring. When rice is al dente, remove from heat and stir in Parmesan, butter and mascarpone. Adjust seasoning; spread rice evenly on baking sheet and refrigerate until cool. In sauté pan, heat remaining olive oil over high heat; sauté mushrooms 3-4 minutes or until they have given up all their juices. Add shallot and garlic; cook 2-3 minutes more. Add soy sauce; cook, stirring constantly, until mushrooms have absorbed all the soy sauce. Cool.
To form arancini, place about 2 tablespoons cooled rice mixture in your palm. Fill with a bit of the mushroom mixture, some mozzarella and some fontina cheese. Close your fingers around the rice to form a ball completely enclosing mushroom mixture and cheese; roll in your palms until it is smooth and even. Coat each ball in eggs; then roll in panko. Deep-fry arancini in 350°F rice bran oil until golden brown; drain on paper towels. Skewer arancini with picks; serve with warm Soy Bagna Cauda.
To make Soy Bagna Cauda, heat 1/4 cup butter and 2 tablespoons olive oil over medium heat until butter begins to foam. Add 2 finely minced anchovy fillets; cook over low heat 5-6 minutes. Add 2 tablespoons chopped garlic; cook over very low heat 10-15 minutes more. Whisk in 1/4 cup Kikkoman Soy Sauce; remove from heat.