Line a baking sheet with parchment paper and brush lightly with olive oil. Set aside.
In a soup plate, combine panko, grated Parmesan, lemon zest, salt and pepper. Prepare a second shallow dish for the flour and paprika, then a third for the eggs. Dip the asparagus first in the flour, then in the egg and finally in the panko mixture.
Place the asparagus on the baking sheet. Drizzle lightly with olive oil and bake for 15 to 20 minutes or until tender-crisp and golden. Serve with lemon yogurt sauce.