Make the Thick Cream Sauce: Melt the butter in a small saucepan over low heat. Stir in the flour and cook, stirring constantly until it forms a thick paste, 1-2 minutes. Add the HOT milk (heat it in the microwave in a microwave safe liquid measuring cup) and pepper, continue to stir, and bring to a boil. Reduce heat and cook for 2-3 minutes more, stirring, until thickened. Remove from heat and pour a thin layer of milk over it to prevent a skin from forming. Set aside.
In a large mixing bowl, combine the chicken, celery, onion, lemon juice, parsley, cayenne pepper, and cream sauce. Stir until well blended. Cover with plastic wrap and refrigerate until chilled (at least 45 minutes).
Preheat oven to 450 degrees F. Form the chicken mixture into 8 balls or cones about 2 inches round. Dip each ball in the beaten eggs, then roll in the panko breadcrumbs. Place on a large baking sheet sprayed lightly with cooking spray. Brush lightly (or spray) with the canola oil. Bake in the preheated oven for 20 minutes, turning carefully after 10 minutes.
Meanwhile, make the gravy: Melt the butter in a small saucepan, stir in the flour, cook for one minute, pour in the chicken broth and bring to a boil. Cook, stirring for 1 minute. Add in the milk, chicken, parsley,and black pepper, reduce heat to low, and simmer, stirring often until thicken.