Dry the fish filet. Place a slice of Parma ham and a slice of cheese on each filet. Fold in two. Use toothpicks to make sure the filet stay close. Season to taste. Coat the fish filet with flour
Whisk the egg in a bowl. Put breadcrumbs on a plate Dip each filet in the egg first then in breadcrumbs. Coat well.
Heat some olive oil in a pan as well as some butter. Cook the fish cordons bleus for about three minutes on each side until golden (I believe you could also set them in the oven on 350F).
Serve with some lemon juice.