Saute shallots in the butter over medium heat till translucent. Add flour, salt, and mustard powder, and cook briefly to cook the flour. Add the lemon juice and the Worcestershire, stirring till smooth. Gradually add the milk, stirring constantly.
Remove from the heat when sauce reaches a boil. Stir in the mayo.
Beat the egg yolk in a separate bowl. Temper the yolk by adding some of the hot sauce and stirring. Be sure to add sauce gradually so as to not cook the egg. Then stir egg into the remaining sauce. Fold in the crabmeat.
Mixture can now be used for stuffing shrimp or fish. To serve alone, pour mixture into a prepared casserole and top with buttered bread crumbs (briefly saute crumbs in a tablespoon on butter.) and bake at 400 for about 20 minutes.