Thaw fish, if frozen. Rinse fish; pat dry with paper towels. Set aside.
Cut each carrot into 4 long strips (8 strips total). In a medium saucepan cook carrots, mushrooms, and celery in a small amount of boiling water for 5 minutes or just until tender. Drain; separating carrots from mushrooms and celery. Set vegetables aside.
Combine the yogurt and mustard; set aside 1/3 cup of the mustard mixture. Brush the remaining mustard mixture over one side of each fillet. Lay one-fourth of the red and green pepper strips and two carrot strips crosswise on mustard side of each fillet. Starting from a short end, roll up fish around vegetables.
Arrange fish rolls, seam side down, in a 9x9x2-inch baking pan. Brush with melted margarine or butter. Bake, uncovered, in a 400 degree F oven for 15 to 20 minutes or until fish flakes easily with a fork.
Meanwhile, for sauce, in a small saucepan stir flour into reserved 1/3 cup mustard mixture; stir in milk. Add cooked mushrooms and celery. Cook and stir over medium heat until mixture is thickened and bubbly; cook and stir for 1 minute more. Remove from heat.
Transfer fish rolls to dinner plates. Spoon sauce over fish. Garnish with fresh dill and halved lemon wedges, if desired. Makes 4 servings.