Preheat oven to 180 degrees Celcius. Remove Stalks from Mushrooms and chop finely. These will be used later. Chop Onion, Garlic and Anchovies finely and put to the side. Place Bacon under the grill and cook until it is cooked through. Chop up bacon to similar size of anchovies etc. Add Olive oil to pan and pan on medium. Once hot, add onion and garlic until onion begins to change colour. Add anchovies and chopped bacon until it becomes aromatic. Add the tomato paste and water. Reduce heat and continue until it thickens. Allow this mixture to cool. Add Greek yoghurt, thyme and mixture to a bowl and mix thoroughly. Season with Salt and pepet Place Mushrooms onto greaseproof paper and spray with olive oil. Add mixture to the mushrooms so the cups are full, but not overflowing. Sprinkle sesame seeds over the top and place into oven. Turn oven up to 200 degrees celcius and bake for 10 minutes. Check the mushrooms and once they have started to change colour, sprinkle some cheese over the top. Take out of oven once Mushrooms have changed colour, softened and enjoy!