Rinse mussels. Grill them with closed lid for 5 minutes till they start to open a little. Use knife to pry open all the way and separate shells. Set aside.
Put Lee Kum Kee Sriracha Mayo into a bowl and stir evenly with all other ingredients (save 2 Tbsp. of crab yolk for garnish), then put the sauce on the mussels (the whole half shell) and place all of them on the baking tray.
Put mussels in oven and bake at Broil setting for 3 minutes till golden brown on the surface. Garnish with remaining crab and cilantro.