Rinse the mussels thoroughly, removing the beards.

Discard any mussels with cracked shells or those not closing tightly when touched.

In a large skillet, combine mussels, water, and lemon, bringing it to a boil over high heat.

Cook until the mussels open, removing each as it opens.

Discard any unopened mussels.

Place the mussel meat in a large bowl, add the sliced mushrooms, and stir to combine.

Discard the mussel shells.

Prepare the white sauce: In a small bowl, beat the egg yolks and stir in the hot sauce.

Melt butter in a small saucepan over medium heat.

Stir in the flour and cook for an additional 1 minute.

Gradually add the reserved cooking liquid, milk, lemon juice, saffron, and pepper.

Cook, stirring constantly, until the mixture thickens and becomes smooth.

Reduce the heat to low, add the egg mixture, and continue cooking, stirring constantly, until the sauce thickens.

Preheat the oven to 450°F (230°C).

Place the mussels and mushrooms in a shallow casserole dish, Dutch oven, or divide among individual casserole dishes or large scallop shells.

Pour the white sauce over the top, sprinkle with grated cheese, and dot with butter.

Bake for about 10 minutes or until bubbly and lightly browned.