Step 1

Preheat oven to 400 degrees F. Coat a 9-by-13-inch baking dish with cooking spray.

Step 2

Mix breadcrumbs, oil, mustard, shallot, lemon juice, capers and thyme in a small bowl until combined.

Step 3

Working with one at a time, spread each salmon strip with 1 teaspoon mayonnaise. Spread about 3 tablespoons of the breadcrumb mixture over the mayonnaise. Starting at one end, roll the salmon up tightly, tucking in any loose filling as you go. Insert a toothpick though the end to keep the pinwheel from unrolling. Place in the prepared dish. Repeat with the remaining salmon strips.

Step 4

Bake the pinwheels until just cooked through, 15 to 20 minutes. Remove the toothpicks before serving.