Snap off and discard tough ends of asparagus; remove scales with a vegetable peeler, if desired. Cut asparagus into 1-inch pieces.
Remove root, tough outer leaves, and tops from leek, leaving 2 inches of dark leaves. Finely chop leek; rinse well, and drain.
Melt butter in a large Dutch oven over medium heat; add leek, celery, and onion; sauté 4 to 5 minutes or until tender. Stir in broth, and bring to a boil over medium-high heat. Cover, reduce heat to low, and simmer 10 minutes. Stir in asparagus and orzo. Cover and simmer 10 minutes or until vegetables and orzo are tender.
Whisk egg yolks until thickened and pale. Gradually stir about 2 cups hot soup mixture into yolks; add yolk mixture to remaining hot soup mixture, stirring constantly 2 to 3 minutes or until thickened. Stir in lemon juice, dill, and salt, and serve immediately, or if desired, cover and chill.