For the dipping sauce, in a medium bowl whisk together the ingredients. Store in the fridge until ready to serve.
For the filling, mash the feta cheese with a fork and mix with the eggs, scallions, mint and paprika.
Take out the sheets of fillo only when you are ready to use them, as they dry out. Cut the sheets into 4 rectangles each, about 12 by 4 inches, and put them in a pile on top of each other. Brush the top strip lightly with oil or melted butter.
Take a heaping teaspoon of filling and place it as one of the 4-inch or shortest ends of the strip in a thin sausage shape along the edge, about 1-inch from it and 1 inch from the side edges. Roll up the top sheet with the filling inside like a cigar. Turn the ends in when you've rolled it about a third of the way to trap the filling, then continue to roll. Repeat with the remaining fillo sheets.
Place the cigars close to each other on a greased baking sheet and brush the tops with melted butter and bake for 350 F for 30 minutes, or until golden and crispy.