Cook the broccoli in a large saucepan of boiling salted water for 2 minutes until just soft. Drain and cool under cold running water. Place the watercress in a sieve and pour over boiling water until wilted, then squeeze away excess water.
Mix together the mascarpone and eggs and season with salt and pepper. Add the broccoli, watercress and crumble in the blue cheese. Mix together the butter and oil and brush around a 20 cm (8 inch) springform cake tin. Brush over a sheet of filo pastry, keeping the remainder of the pastry covered with a damp, but not wet, piece of kitchen paper. Put the pastry in the cake tin, letting the excess hang over the sides. Turn the tin and place another sheet, brushed with the butter mixture, on top. Repeat until the tin is lined and the pastry used up.
Spoon the filling into the tin and pull the overhanging pastry over to cover, scrunching the corners up a little as you go. Brush over with more of the butter mixture, then scatter over the walnuts. Bake in a preheated oven, 200°C (400°F), Gas Mark 6, for 20–25 minutes until golden and crispy.