1. Preheat oven to 400°.
2. Heat a large skillet over medium-high heat. Add panko and thyme to pan; cook 2 minutes or until golden brown, shaking pan frequently. Combine panko mixture, salt, and pepper in a shallow dish. Place flour in another shallow dish. Combine 2 tablespoons water and egg in another shallow dish. Dredge fish in flour mixture. Dip in egg mixture, and dredge in panko mixture. Arrange fish in a single layer on a baking sheet coated with cooking spray. Bake fish at 400° for 12 minutes or until done.
3. Combine mayonnaise and remaining ingredients in a bowl; serve with nuggets.