Melt shortening in 1-quart (1 L) saucepan. Remove from heat. Stir in flour, lemon peel, dill weed and salt. Blend in half-and-half. Cook and stir over medium heat until mixture thickens and just comes to a boil. Remove from heat.
Blend small amount of hot mixture into egg yolk. Blend back into hot mixture, stirring to combine. Cook and stir until mixture just comes to a boil. Cook and stir for 1 minute. Serve hot with fish.