Melt the butter in a small saucepan over medium heat.
Add the diced onion and cook for a few minutes, until soft but not browned.
Add the flour and stir with a wooden spoon until it forms a roux (one big soft lump), about 20 seconds.
Add the milk a small portion at a time, ensuring you mix well between additions. The roux will gradually go from a thick paste to a smooth sauce as you add milk and mix, and the milk is absorbed gradually into it.
Add the oysters and stir through until combined. Cook for 1 minute on a low heat until sauce is thick and creamy.
Season with salt and pepper to taste.
Preheat the oven to 180°C.
Place the vol-au-vent cases on an oven tray and spoon tablespoons of the creamy oyster sauce into each.
Bake in the oven for 6-8 minutes, or until the pastry is crisp and golden.
Serve sprinkled with chopped chives or parsley.