To make the gravy, add the butter to a saucepan over medium heat. Once melted, whisk in the flour and cook for one minute. Next add the cream, milk, Worcestershire sauce and dijon mustard. Whisk to combine and let come to a simmer to thicken.
After 3-4 minutes add the parmesan cheese and nutmeg, whisk to combine and taste for seasonings and then add salt and pepper to taste.