Remove beards from mussels, and scrub shells well with a brush. Discard open or cracked mussels.
Place mussels in a grill basket or on aluminum foil. Grill mussels, covered, 8 minutes or until shells are fully open. Discard any that do not open.
Transfer mussels to a large serving dish. Drizzle mussels with lemon juice, and season with pepper to taste. Tent with foil to keep warm.
Meanwhile, heat oil in a large skillet over medium heat. Add fennel, onion and garlic. Sauté 5 minutes or until fennel is tender. Add chorizo and cook, stirring, 5 minutes or until browned and crumbled.
Add wine and bring to a boil. Reduce heat to low and simmer 2 minutes more.
Spoon chorizo mixture over mussels. Sprinkle with parsley, and serve.