Preheat the oven to 230 degrees with the rack set on the 3rd level. Beat the egg lightly with a fork or whisk in a small deep bowl, season with salt and pepper. Pour crackers, seasoning, and oil into another deep bowl. Mix well. First dip the fish pieces into an egg and then into crackers, gently pressing the breading to the fish. Place the fish on a baking sheet.
Bake in the oven for 12-15 minutes until tender (do not turn).
In the meantime, prepare the sauce. In a small bowl, combine mayonnaise, parsley, mustard, lemon juice, horseradish, salt, and pepper. Mix well.