Place the egg and pecans in separate shallow bowls. Dip fillets into egg, then coat with pecans. Place in a greased 15x10x1-in. baking pan. Bake, uncovered, at 400° for 20-25 minutes or until fish flakes easily with a fork.
Meanwhile, in a small saucepan, saute shallot in butter until tender. Add wine. Bring to a boil; cook for 1-2 minutes or until liquid is reduced by half.
In a small bowl, combine the cornstarch, orange juice and mustard until smooth; stir into wine mixture. Bring to a boil; cook and stir for 2 minutes or until thickened. Serve with orange roughy.