Combine mayonnaise, Dijon mustard, lemon juice, lemon zest, dill, salt and pepper until well blended. Divide sauce into 2 bowls: 1 for basting fillets prior to cooking and 1 as a sauce to be served with the cooked rollups.
Preheat oven to 400° F.
Lightly coat bottom of baking pan with olive oil.
Partially coat asparagus until crisp-tender in boiling water. Fold Swiss cheese slices in half, then again in half, making a cube.
Pat fillets dry. Place rounded side down on work surface. Baste lightly with Dill Sauce. Place 4 asparagus spears on each fillet. Top with 1 folded slice of cheese. Begin rolling from the thinner end of fillet toward thicker end. Secure with toothpicks.
Place each roll in baking pan, and coat with sauce. Combine panko and paprika. Sprinkle each fillet with panko mixture, pressing crumbs into sauce.
Bake until crumbs are browned, about 25 minutes.
Serves 6