Thaw the mussels by submerging in water for about 30 minutes. Once they’re fully defrosted, remove any “beards” you find and give the mussels and shells a good rinse under cold water.
Preheat your oven by setting it to broil on high. If you’re using a toaster oven, set it to broil at 400°F.
Remove the meat and adductor muscle from its shell. Give the mussels a light squeeze to remove excess liquid. Chop the mussels into 4 pieces and slice the adductor muscle in half crosswise.
In a bowl, combine the chopped mussels and Dynamite Sauce ingredients (Kewpie mayo, sriracha, soy sauce, and lemon juice). Mix in half of the masago and half of the scallions. Reserve the other half for garnish.
Dry and line the shells on a baking sheet. Spoon the mixture into the shells.
Broil the mussels in the oven or toaster oven for about 10 minutes, until they’re golden with caramelized bits. Keep an eye on them for the last couple of minutes.
Garnish with the remaining masago and scallions and serve immediately.