Preheat oven to 375°F/190°C.
Remove any beards from the mussels, and rinse them under cool running water. Discard any cracked or open mussels that don't close when tapped.
Cut the scallions into small pieces and combine them with the Sriracha, Kewpie mayonnaise, soy sauce, masago (smelt roe), and lemon juice in a bowl.
Place the mussels in an oven-safe dish. Scoop the topping mixture onto each mussel, making sure to cover the entire mussel.
Bake for 12 minutes at 375°F/190°C. When done, the shells should open and be lightly browned. Discard any mussels that did not open during cooking.
Serve the Japanese Baked Mussels immediately with some steamed white rice and a side salad.