In a small saucepan, melt butter; stir in flour until smooth. In a small bowl, whisk egg yolk and cream; gradually add to butter mixture. Stir in the vinegar, sugar, mustard, salt and pepper. Bring to a boil, stirring constantly, until thickened and bubbly (the dressing will be very thick).
In a small serving bowl, combine the cabbage, peppers and celery. Add warm dressing and toss to coat. Cover and refrigerate for at least 2 hours.