Preheat oven to 400°F.
Place the Brussels sprouts in a large bowl and toss them with the olive oil and a couple of pinches each of salt and pepper (about ½ tsp each of salt and pepper. Spread the sprouts onto a baking sheet and roast for 20 minutes, flipping them over halfway through.
Remove the sprouts from the oven, and when cool enough to handle, roughly chop them. (See NOTES).
Meanwhile, cook the pancetta in a large skillet over medium-high heat until crisp. Use a slotted spoon to remove the pancetta from the pan. Place in a bowl and set aside.
Leave the rendered grease in the pan. Add the onions and cook until soft and starting to brown, about 5 minutes. Add the garlic and cook for another 30 seconds.
Stir in the flour to create a roux and cook for about 1 minute.
Carefully pour in the heavy cream and stir until slightly thickened, about 2 minutes. Add the cheese and stir until melted. Season with ½ tsp of salt and pepper. Stir in the nutmeg and reserved pancetta. If the sauce is too thick, thin with more cream until the right consistency. It should be the consistency of thick gravy.
Place the chopped sprouts in a 2-quart baking dish. Pour the cream sauce over the top of the sprouts.
In a bowl, mix together the breadcrumbs with the melted butter. Sprinkle the breadcrumb mixture over the top of the cheese sauce.
Bake for 20 minutes until bubbly and golden on top.