For the filling, wrap one piece of anchovy fillet around the middle of each length of mozzarella. Season, to taste, with salt and freshly ground black pepper.
Open up the flower of one of the courgettes into the palm of your hand, taking care not to tear it. Carefully remove the stamens and pistil from each with a small knife. Insert one piece of the prepared mozzarella inside, then gently twist the petals back around the filling. Repeat the process with the remaining baby courgettes and filling.
Half-fill a large saucepan with sunflower oil and heat to 180C (use a cooking thermometer to check the temperature).
Sift the flour onto a plate or shallow dish and season well with salt and freshly ground black pepper. Set aside.
For the batter, sift the flour and bicarbonate of soda into a mixing bowl. Add the beaten egg and a pinch of salt. Gradually add the sparkling water or lager in a thin stream, whisking continuously with a large whisk until the batter is the consistency of double cream. (NB: Do not overwhisk, as the air will escape from the batter.)
When the oil is hot, dredge the stuffed courgette flowers, one at a time, in the seasoned flour, then dip into the batter until completely covered.
Carefully lower two of the stuffed courgette flowers into the hot oil and fry for 2-3 minutes, turning carefully once or twice, or until crisp and golden-brown. Remove from the pan using a slotted spoon and set aside to drain on kitchen paper. Repeat the process with the remaining stuffed courgette flowers. Keep warm.
To serve, pile the stuffed courgette flowers into the centre of a serving plate, squeeze over the juice from the lemon wedges and season, to taste, with salt.