Rinse fillets, and pat dry; sprinkle with 1/4 teaspoon black pepper. Place in a 13- x 9- x 2-inch baking dish coated with cooking spray. Combine wine and water; pour over fillets. Bake, uncovered, at 400° for 12 minutes. Drain, pouring liquid into a glass measure; let solids settle. Reserve 3/4 cup clear liquid.
Coat a nonstick skillet with cooking spray; add 1/4 cup of the reserved liquid and 1 tablespoon lemon juice. Place over medium-high heat until hot. Add mushrooms; saute 3 minutes. Add zucchini and sweet red pepper; saute 3 minutes. Stir in salt and remaining 1/4 teaspoon black pepper. Spoon over fillets.
Combine 1/4 cup reserved liquid, celery, green onions, and crushed red pepper in a saucepan. Bring to a boil; reduce heat, and simmer until vegetables are tender. Combine 1/4 cup milk and flour, stirring until smooth. Stir in remaining 3/4 cup milk and 1/4 cup reserved liquid; stir into celery mixture. Cook, stirring constantly, 2 minutes or until slightly thickened. Remove from heat; stir in parsley and remaining 1/2 tablespoon lemon juice. Spoon over vegetables and fillets; sprinkle with cheese. Bake at 400° for 15 minutes.