For the mayonnaise, soak the saffron in 1 tablespoon of hot water in a small bowl for 5 minutes. Whisk in the mayonnaise, lemon zest, lemon juice, mustard, 1/2 teaspoon kosher salt, and 1/4 teaspoon pepper and refrigerate until ready to use.
For the mussels, combine the fleur de sel and 1/2 teaspoon pepper and set aside. Heat a large, dry (12-inch) cast iron skillet over high heat for 4 to 5 minutes, until very hot. Add the mussels in a single layer and cook them for one minute, until they start to open. Add the wine and continue cooking for 2 to 3 minutes, until the mussels are fully opened and just cooked. (Discard any that don't open.) Off the heat, sprinkle the mussels generously with the salt and pepper mixture. Serve hot from the skillet with individual bowls of saffron mayonnaise for dipping.
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