Heat the vegetable oil in a small skillet. Add the onion and cook over moderately low heat, stirring, until translucent, about 8 minutes. Add the curry powder and cook, stirring, for 2 minutes longer. Add 2 tablespoons of the wine and cook until the liquid evaporates.
Transfer the curry mixture to a blender and let cool slightly. Add 2 tablespoons of the yogurt and the honey and blend until smooth. Pour the sauce into a bowl. Stir in the remaining yogurt and season with salt. Refrigerate until chilled.
In a large pot, combine the mussels with the remaining wine and the water. Cover and cook over high heat until the mussels open, about 5 minutes; discard any that don't open. Using a slotted spoon, transfer the mussels to a large platter; let cool. Serve the mussels with the curry sauce on the side.
The curry sauce can be refrigerated for up to 2 days.