Heat oil in deep fryer to 350 degrees F. Reduce wine in saucepan over high heat. Mash mushrooms into a paste, add to wine reduction. Add lemon juice and season with salt and cayenne. Fry for 1 minute and add egg yolk. Stir together well.
Combine olives, shrimp, dill and mayonnaise. Season with pepper.
Dry fish fillets, season with salt and pepper, dip in flour and spread with mushroom paste. Coat fillets lightly with grated cheese and finally with bread crumbs. Deep fry fish for 2 1/2 minutes. Serve with shrimp sauce.