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Preheat oven to 400°F. Coat a 9-by-13-inch baking dish with cooking spray.
Mix breadcrumbs, oil, mustard, shallot, lemon juice, capers and thyme in a small bowl until combined.
Working with one at a time, spread each salmon strip with 1 teaspoon mayonnaise. Spread about 3 tablespoons of the breadcrumb mixture over the mayonnaise. Starting at one end, roll the salmon up tightly, tucking in any loose filling as you go. Insert a toothpick through the end to keep the pinwheel from unrolling. Place in the prepared dish. Repeat with the remaining salmon strips.
Bake the pinwheels until just cooked through, 15 to 20 minutes. Remove the toothpicks before serving.