Melt butter, stir in flour, cook until smooth and bubbly.
Stir in milk and cook slowly, stirring constantly, until mixture thickens.
Stir in scallop liquid.
Beat egg yolk; pour sauce over egg yolk very slowly, stirring constantly.
Combine scallops, mushrooms and sauce.
Fill six scallop shells.
Sprinkle with buttered bread crumbs; brown under broiler; serve immediately.