Trim the stems from the mushrooms and scrape the gills from the caps, reserving both. Set the caps aside for the gravy.
Combine the mushroom stems and gills, onion, celery, carrot, rosemary and thyme sprigs, bay leaf, and salt in a large stockpot. Add the water and bring to a boil over medium-high heat. Reduce the heat to a simmer and cook until reduced by one-quarter, about 45 minutes. Skim any residue that rises and discard. Strain the stock through a sieve and discard the solids. You should have about 6 cups of stock.
Preheat the oven to 400 degrees F.
Cut the mushroom caps into thick slices; if using portobello mushrooms, cut the slices across into about 1-inch pieces. Put the mushrooms on a rimmed baking sheet; drizzle them with the oil and season with a pinch of salt and pepper, tossing with your hands to evenly coat. Roast the mushrooms until they are well browned and aromatic, 20 to 30 minutes. Set them aside.
In a large saucepan, melt the butter over medium heat until it bubbles. Whisk in the flour and cook until golden brown, 3 to 5 minutes. Slowly add the milk, then the mushroom stock, whisking constantly to avoid lumps. Add the roasted mushrooms and stir in the Worcestershire, hot sauce, chopped parsley, chopped thyme, chopped rosemary, and lemon zest and juice. Bring to a simmer and cook, stirring frequently until thick. Season to taste with salt and pepper.
To serve, cut each biscuit in half horizontally and set it cut-sided up in a shallow bowl or on a plate. Spoon the mushroom gravy over the biscuits and serve.