Preheat the oven to 350°F. Bring a large pot of water to a rolling boil. If working with fresh pearl onions, trim the tops, blanch them in the boiling water for about 1 minute, then transfer immediately to an ice bath. Once cooled, remove the skins by gently squeezing each onion. Return the peeled onions to the boiling water and simmer for 12 to 15 minutes until tender, then drain thoroughly. For frozen onions, simmer directly for 5 to 7 minutes until soft and then drain well.

In a separate small saucepan, melt the butter over medium heat. Sprinkle in the flour and cook for 1 minute while stirring. Gradually whisk in the chicken broth and heavy cream, adding in small amounts and whisking until the mixture is smooth. Stir in the ground nutmeg.

Take the sauce off the heat and mix in 3 tablespoons of the Parmesan cheese, seasoning with salt and black pepper to taste. Fold the drained onions into the sauce until evenly coated.

Transfer the mixture into a small baking dish or a pie plate, smoothing the top. Sprinkle the remaining tablespoon of Parmesan cheese over the surface. Bake for 20 to 25 minutes or until the top is lightly browned and the dish is thoroughly heated.