In shallow dish combine egg, melted butter and lemon pepper seasoning. Dip cutlets into lemon pepper mixture to coat both sides, then coat with bread crumbs. Place in a single layer in an ungreased jelly roll pan or baking sheet. (Can be made ahead. Cover and refrigerate up to 24 hours.)
Preheat oven to 450 degrees. Uncover chicken and bake until golden, about 20 minutes.
Meanwhile, prepare sauce. Drain mushrooms, reserving liquid. In small saucepan combine milk and reserved liquid. Add cream cheese. Heat slowly, whisking until cream cheese is melted and mixture is smooth. Add mushrooms and pepper; heat. Serve over chicken.
