Warm the milk without boiling.
Melt the butter in a saucepan over medium heat. Add the onion and cook until soft and translucent, without browning.
Add the flour and stir to form a roux. Cook briefly, 1–2 minutes.
Gradually add the warm milk, whisking continuously until smooth. Cook until lightly thickened.
Season with salt, pepper, nutmeg, and a small pinch of cayenne.