Preheat oven to 375 F. Spray one 8×8-inch baking dish or 4 single-serving baking dishes with canola oil or non-stick spray. (You may try cutting parchment paper to fit the pans instead.)
Unroll the thawed phyllo dough and place it on your workspace. Quickly cover it with plastic wrap and then a damp towel so that it doesn’t dry out. Remove one sheet and place it on a cutting board or other work surface. Place one peeled banana along one of the narrow ends, Sprinkle the dough evenly with a fourth of the walnuts. Sprinkle the banana with a dusting of cinnamon and then roll it up in the phyllo. Place it seam-side down in the baking dish. (If making in single-serving dishes, cut wrapped banana in half and place halves in dish side by side.) Repeat with remaining bananas.
Give the tops of the wrapped bananas a quick (1/2 second) spray with canola oil (or try brushing with non-dairy milk). Bake for 20-30 minutes, until tops are golden brown and bananas have begun to sizzle and release a syrup.
To serve, cut bananas in half and place two halves on each plate, along with some of the banana syrup from the baking dish. Drizzle with about a tablespoon of Chocolate Sauce. For best results, serve immediately.
The walnuts keep the layers of phyllo separate so that they don’t become soggy. I don’t recommend leaving them out unless you’re willing the spray the phyllo with oil before wrapping.Tightly wrap the leftover phyllo and seal it in a plastic bag. It will keep in the refrigerator for up to a week, or you can refreeze it for up to 2 months.Variations: Try spreading a light coating of raspberry or other preserves on the banana before wrapping it up.