Preheat oven to 350 degrees F (175 degrees C). Line a baking pan with aluminum foil, and coat with cooking spray.
In a medium saucepan coated with cooking spray over medium heat, cook and stir the mushrooms and onions about 4 minutes. Season with lemon pepper, Italian seasoning, pepper, and salt. Remove from heat, and allow to cool about 10 minutes. Thoroughly blend in the yogurt and Parmesan cheese.
Arrange each orange roughy fillet in the prepared baking pan over about 2 tablespoons of the mushroom mixture. Top fillets with the remaining mushroom mixture. Sprinkle with bread crumbs.
Bake 30 minutes in the preheated oven, or until the fish is easily flaked with a fork. Season with paprika and garnish with parsley to serve.
