Roll out pie dough and mold into an 11-inch pie dish, crimping the edges to make ridges. Pierce the dough with a fork several times. Bake in the hot oven until slightly browned, about 6 to 8 minutes. Remove from the oven and let cool. Turn the oven down to 325 degrees F.
In a large skillet over medium-high heat, add the butter, onions, asparagus, cayenne and garlic. Sprinkle with a pinch salt and a pinch pepper. Cook for 5 to 6 minutes until the asparagus is soft and mixture is fragrant. Remove from the pan to a bowl and let cool.
In a large bowl, add the chives, Dijon mustard, eggs, heavy cream, nutmeg, a large pinch salt and a large pinch black pepper. Whisk together until well combined.
Add the asparagus mixture to the pie shell, then pour in the egg mixture. Top with the Cheddar and bake until the eggs are set, about 35 minutes. Remove from the oven, cut into wedges and serve.