Place mussels, vermouth, and shallots in a saucepan.
Cover with a lid and simmer until mussel shells fully open.
Remove from heat and strain.
Place 1 cup of strained liquid into a clean saucepan and reduce by half.
Add pinch of saffron and allow to infuse for about 1 minute.
Add cream and whisk in butter.
Season to taste with a little fresh lemon juice.
Remove mussel meat from shell and add to sauce to rewarm.