Preheat the oven to 400 degrees F.
Spray a baking sheet with olive oil cooking spray. On a plate, combine the flour, salt and pepper. Cut the fillets into 4 by 1-inch strips. A few pieces at a time, dip the fish into the flour mixture, dusting off the excess. Dip the fish in the egg and then the bread crumbs. Arrange on the baking sheet and continue until all of the fish is breaded. Bake until golden and cooked through, about 10 minutes.
Meanwhile, in a small bowl, stir together the yogurt, mayonnaise, mustard, Worcestershire sauce, chives and cayenne, if using. Season, to taste, with freshly ground black pepper.
Serving size: 6 pieces and 2 tablespoons sauce