Pour a little water into a shallow casserole pan and put on a medium heat. When hot, add the mussels and bay leaf, cover with a lid and steam until they open. Put a sieve over a large bowl and drain, collecting the mussel cooking juice. When cool, mix this into the milk and set it aside for the béchamel.
Pick the mussels from their shells. Keep the best-looking halves of the shells.
Put the olive oil into a pan on a medium heat. When hot, add the onions and gently cook them until very soft and sweet but not coloured.
Chop the mussels, then add to the onions, season and stir together. Add the wine and cook to evaporate. Add the butter and melt, then add 220g of the flour and mix together. Slowly add the mussel juice and milk little by little, stirring continuously until you have a béchamel consistency. Add the chives, season and mix to combine. Leave to cool down.
Spoon the béchamel-mussel mix into the reserved mussel shells, giving them a slightly rounded shape. The mixture should be cool enough to be set, but if it’s very warm you might need to chill them in the fridge.
Mix the cayenne pepper, garlic and parsley through the panko.
Dip the tops of the mussels in the remaining 200g of flour, the egg and the panko (don’t dip the bottom).
Pour some rapeseed or sunflower oil into a high-sided pan or sauté pan and place on a medium-low heat. When hot, shallow-fry the mussels until golden. Remove from the pan with a spoon and drain on kitchen paper. Season and serve.