Heat olive oil in a large frying pan over high heat. Cook mushrooms for 5 minutes, stirring regularly until golden. Add broccolini and onion and cook for another 2-3 minutes until broccolini is just tender. Transfer to a large bowl to cool slightly.
Add rice, egg and cornflour to mushroom mixture. Mix to combine. Refrigerate for 30 minutes.
Place panko in a large tray. Using slightly wet hands, shape a heaped tablespoon of mixture into a ball. Press a cherry bocconcini into the centre of the ball, then roll to enclose. Roll in panko to coat. Repeat with remaining rice mixture to form 16 balls.
Heat oil in a large frying pan over medium heat until a cube of bread sizzles on contact. Cook balls in batches for 1-2 minutes or until golden all over. Drain on kitchen paper.
Mix together yoghurt and lemon zest. Serve vegetable arancini balls with baby spinach leaves, lemon wedges and yoghurt.
Go Vegan: Replace bocconcini with halved green olives. Replace Greek yoghurt with coconut yoghurt.