Combine mustard, half of cheese, and anchovy in a bowl. Heat a grill pan over medium-high; coat with cooking spray. Sprinkle chicken with salt and pepper; add to pan, and cook 4 minutes. Turn, brush with mustard mixture, top with panko, and coat with cooking spray. Place pan in oven; broil 7 minutes or until chicken is done. Let stand 5 minutes. Cut into slices.
Return pan to medium-high. Brush cut sides of lettuce with 1 tablespoon oil. Grill lettuce, 2 halves at a time, for 2 minutes.
Place 1 chicken breast and 1/2 lettuce heart on each of 4 plates. Top lettuce evenly with remaining 1 tablespoon oil, juice, and remaining 3 tablespoons cheese.