Melt butter in a large skillet over medium heat. Saute bell pepper, celery and mushrooms until soft, about 5 minutes. Stir in onion; mix flour and 1/2 cup of milk in a small bowl and stir mixture into skillet. Beat egg yolks into remaining 1 1/2 cups milk and pour into skillet. Cook, stirring, until thickened.
Add chicken and cook for 3 to 5 minutes, stirring constantly. Stir in lemon juice, sherry, paprika, salt and pepper. Finally, stir in peas and pimento peppers. Heat through and serve.
