Thoroughly scrub the mussels to remove all exterior sand and dirt. Place them in a large kettle along with the shallots, onions, parsley, salt, black pepper, cayenne, wine, butter, bay leaf and thyme. Cover. Bring to a boil. Simmer until the mussels have opened (5-10 minutes). Discard any mussels that do not open. Strain through a double thickness of cheesecloth into a saucepan. Remove the mussels from their shells. Discard the shells. Set the mussel meat aside. Bring the liquid in the saucepan to a boil. Add the cream. Return to a boil. Immediately remove from the heat. Add the beaten egg yolk. Return to the heat only long enough for the soup to thicken slightly ~ DO NOT BOIL! Stir in the Hollandaise sauce and add the mussel meat just before serving. Serve hot or cold.