Preheat oven to 400 degrees Fahrenheit. Line a 9-inch square baking pan with two strips of parchment paper, cut to size.
In a medium bowl, scramble the eggs with the milk, goat cheese, shallot, mustard and salt. Pour the egg mixture into the prepared baking pan, tug up the sides of the parchment paper if necessary, and carefully slide it onto the middle rack of the oven. Bake for 10 minutes.
While the eggs are baking, rinse the asparagus and pat dry. Snap off the tough ends of the asparagus; they should be shorter than 9 inches in length. Toss the asparagus with a drizzle of olive oil, a big squeeze of lemon juice, salt and pepper, and set aside.
After ten minutes have passed, remove the egg dish from the oven and place the asparagus, one by one, on top in a neat row. Return to the oven for another 15 minutes. The center should be springy to the touch when it's done.
Let the frittata rest for a few minutes, then slide a knife around the edges of the pan (paying special attention to the corners) and use both hands to lift the frittata out and onto a flat surface. Use a sharp chef's knife to slice it in three columns, in between the strips of asparagus. Then use a gentle see-saw motion to slice down the middle, through the asparagus. Serve warm or at room temperature.