The mayo can be made in advance or while the asparagus is in the oven.
Break the egg into the jar belonging to your immersion blender or in a jar/jug of similar size. It should be tall, not too wide, wide enough to fit the head of the blender tightly. Add the Dijon mustard, a little salt, and pepper.
Place the immersion blender in the jar, it should sit on the bottom of the jar. Turn it on, keep it fixed there and count to 10 until the mayo starts to emulsify.
Very slowly, start moving the immersion blender up and down counting to 10-15 again, until the mayonnaise is fully emulsified, thick and glossy. If it is not yet, blend for another 3-5 seconds or so. Remove the immersion blender from the jar and stir.
Add the lemon zest, lemon juice, grainy mustard, yogurt and vinegar to the mayonnaise. Stir with a spoon or spatula to incorporate and adjust the taste with salt, pepper and a little bit more honey or vinegar, according to your taste.
Serve immediately with the warm asparagus spirals.