Nanofiber membrane chromatography integrates liquid membrane chromatography and nanofiber filtration into a single-step purification process. Nanofiber membrane can be functionalised with affinity ligands for promoting binding specificity of membrane. Dye molecules are a good affinity ligand for nanofiber membrane due to their low cost and high binding affinity. In this study, a dye-affinity nanofiber membrane (P-Chitosan-Dye membrane) was prepared by using polyacrylonitrile nanofiber membrane modified with chitosan molecules and immobilized with dye molecules. Reactive Orange 4, commercially known as Procion Orange MX2R, was found to be the best dye ligand for membrane chromatography. The binding capacity of P-Chitosan-Dye membrane for lysozyme was investigated under different operating conditions in batch mode. Furthermore, desorption of lysozyme using the P-Chitosan-Dye membrane was evaluated systematically. The recovery percentage of lysozyme was found to be ~100%. The optimal conditions obtained from batch-mode study were adopted to develop a purification process to separate lysozyme from chicken egg white. The process was operated continuously using the membrane chromatography and the characteristic of the breakthrough curve was evaluated. At a lower flow rate (i.e., 0.1 mL/min), the total recovery of lysozyme and purification factor of lysozyme were 98.59% and 56.89 folds, respectively.