Thaw fish, if frozen. Rinse fish; pat dry with paper towels. Cut into four serving-size pieces, if necessary. In a shallow dish combine the egg, mustard, milk, and pepper, beating with a whisk or fork until smooth. Place flour in another shallow dish. In a third shallow dish place the coarsely crushed pretzels. Coat both sides of fillets with flour. Dip fillets in the mustard mixture; coat with crushed pretzels.
In a large skillet cook fish in hot oil over medium heat for 3 to 4 minutes per side or until golden and fish begins to flake when tested with a fork. (Reduce heat as necessary to prevent burning.) If desired, serve with lemon slices.