Place the egg yolk and mustard in a bowl.
Stir well with a whisk.
Add the oil slowly, whisking constantly, until it forms a smooth mayonnaise.
Pat the capers and anchovies dry and finely chop.
Wash the herbs, shake dry and finely chop.
Peel and finely chop the shallot. Finely dice the cucumber.
Add everything to the mayonnaise.
Squeeze the juice of the lemon.
Season the sauce with lemon juice, salt and pepper.