Heat olive oil in a large saute pan over high heat. Add mushrooms and cook until golden brown. Add thyme and season with salt and pepper. Toss asparagus with a few tablespoons of the vinaigrette and season with salt and pepper. Arrange 1/4 of the mushrooms in the center of each plate. Arrange asparagus around the mushrooms. Sprinkle pecans and blue cheese around the edge of the plate. Drizzle with more of the dressing.
Whisk together mustard, ancho powder, salt and vinegar, slowly whisk in oil until emulsified. Season with more salt, to taste.