Baked Mussels and Mushrooms

Start by thoroughly rinsing the mussels.
Remove any beards and discard any mussels with cracked shells or those that don't tightly close when touched.
In a large skillet, place the mussels, water, and a lemon slice.
Bring the mixture to a boil over high heat and cook until the mussels open.
Remove each mussel as it opens and discard any unopened ones.
Reserve 1 cup of the cooking liquid.
Remove the meat from the shells and place it in a large bowl.
Add the sliced mushrooms and stir to combine, discarding the shells.
Prepare the sauce: In a small bowl, beat the egg yolks and stir in the hot sauce.
In a small saucepan over medium heat, melt the butter.
Stir in the flour and cook for an additional minute.
Gradually whisk in the reserved cooking liquid, milk, lemon juice, saffron, and freshly ground black pepper.
Continue to cook, stirring constantly, until the sauce thickens and becomes smooth.
Reduce the heat to low, add the egg mixture, and cook while stirring until the sauce thickens.
Preheat your oven to 450°F (230°C).
Place the mussels and mushrooms in a shallow earthenware casserole dish, Dutch oven, or distribute them among individual casserole dishes or large scallop shells.
Pour the sauce over the top, sprinkle with the grated cheese, and dot with small pieces of butter.
Bake for about 10 minutes or until the dish is bubbling and lightly browned.
If you're using an earthenware dish, you can serve the dish hot in the same container, or transfer it to a serving platter.