Heat oven to 350°F (177ºC).
Heat 2 tablespoons olive oil in a large nonstick skillet over medium until simmering.
Add chopped mushroom stems, lentils, celery onion, garlic and ½ teaspoon salt to skillet. Cook until vegetables are softened and starting to brown, 8–10 minutes.
Deglaze pan with vinegar and cook 1 minute. Transfer vegetable mixture to a medium bowl.
Add goat cheese, egg yolk, lemon zest and parsley to vegetable mixture; mix well to combine.
Place mushrooms caps facing up on a baking sheet lined with parchment paper (or in a baking dish).
Spoon about 1 tablespoon of mixture into each mushroom cap to form a mound. Depending on size of mushroom you may need a little more or less to fill it.
In a small bowl, combine Panko, remaining tablespoon olive oil, and ¼ teaspoon each salt and pepper.
Top each mushroom cap with a sprinkle of breadcrumbs (reserve any leftover breadcrumbs for serving) and bake until mushrooms are tender and topping is golden brown, 20–25 minutes.
Serve with lemon wedges and a sprinkling of remaining breadcrumbs.