Debeard and clean the exterior of the mussel shells very well (they will be used later for service).
In a cast-iron Dutch oven over high heat, add 1 tablespoon of the olive oil, the garlic, red pepper flakes, white wine and thyme. Bring the wine to a simmer and add the mussels. Cover tightly and cook until all the mussels have opened, 6 to 8 minutes.
Remove the mussels from the pot, discarding any that did not open, and when cool enough to handle, remove the flesh and chop. Rinse the shells and put aside for service. Strain the liquid from the pot and reserve. Wipe the Dutch oven clean with a paper towel.
Place the pot over medium-high heat, add the remaining olive oil and, when shimmering, add the onions and bell peppers and saute until the onions are just starting to caramelize, 4 to 5 minutes. Add the serrano, the remaining garlic and the tomatoes and cook for 1 to 2 minutes.
Add the butter and the flour. Once the butter melts, slowly incorporate the milk. Add the reserved cooking liquid from the mussels, a little at a time, until the mixture is creamy but not runny. Add the chopped mussels and gradually add 1 cup panko, as needed, and stir gently to combine.
Preheat the oven to broil and adjust the rack to 6 inches below the element.
Separate, rinse and dry the mussel shells.
Spread the rock salt evenly in an ovenproof serving platter. Fill the mussel shells with 2 to 3 tablespoons of the mussel-vegetable mixture. Place the remaining cup of panko in a shallow bowl or plate and spread out. Gently roll the filled shells in the panko. Nest the filled mussels into the rock salt on the prepared platter. Season with nutmeg, salt and pepper, place under the broiler and broil until golden brown and bubbly, 2 to 3 minutes, watching carefully to avoid burning.
Sprinkle with the chopped Italian parsley, squeeze a few lemon wedges over the mussels and garnish with remaining lemon wedges and serve immediately.