How to Make It
Preheat the oven to 375°. On one side of a large rimmed baking sheet, toss the potatoes with 2 tablespoons of the olive oil and season with salt and pepper. On the other side of the baking sheet, toss the brussels sprouts with the remaining 1 tablespoon of olive oil and season with salt and pepper. Roast for about 25 minutes, until the vegetables are tender and charred in spots.
Meanwhile, in a large saucepan, combine the fresh mussels with the wine, onion, shallots, butter, parsley sprigs, thyme, bay leaf and cayenne and bring to a boil over high heat. Cover and cook over moderately high heat until the mussels open, 6 to 8 minutes. Using a slotted spoon, transfer the mussels to a bowl. Remove the mussels from their shells; discard the shells and any mussels that do not open. Strain the broth through a fine sieve.
Wipe out the saucepan. Add the strained broth along with any accumulated mussel broth from the bowl and bring to a boil. Add the cream and bring just to a boil. In a small bowl, beat the egg yolk with 2 tablespoons of the hot cream, then gradually whisk the mixture into the saucepan. Simmer the soup over moderate heat, whisking, until thickened slightly, 3 to 5 minutes. Stir in the brussels sprouts, potatoes and both the cooked mussels and the smoked mussels and simmer until hot, about 3 minutes. Stir in the lemon juice and season with salt and pepper. Serve the stew in small ramekins, garnished with chopped parsley.