Preheat your oven to 400°F and line a large rimmed baking sheet with parchment paper for easy cleanup.
In a large mixing bowl, combine the ground lamb, egg white, minced garlic, dried oregano, chopped parsley, sea salt, and black pepper.
Gently mix the ingredients by hand until just incorporated, being careful not to overwork the meat which can make it tough.
Roll the mixture into 1.5-inch meatballs and space them evenly on the prepared baking sheet.
Roast the meatballs for 15 to 18 minutes until they are golden brown on the outside and cooked through.
While the meatballs roast, grate the cucumber and use a clean kitchen towel or paper towel to squeeze out all excess moisture.
In a small bowl, whisk together the Greek yogurt, squeezed cucumber, lemon zest, lemon juice, and chopped fresh dill until smooth.
Serve the warm lamb meatballs immediately with a generous dollop of the chilled lemon-herb yogurt sauce on top.