Place a rack in the middle of the oven and preheat to 350 degrees F. Butter 4 (6-ounce) ramekins and sprinkle with Parmesan to lightly coat, tapping out excess. Put prepared ramekins on a baking sheet and refrigerate.
To make the souffle base: Put the milk, thyme, and bay leaf in a microwave-safe measuring cup and microwave on HIGH until steaming, about 2 minutes. (Or, bring the milk and herbs just to a simmer in a small saucepan on the stove, and then pull from the heat.)
Melt the butter in a saucepan over medium heat. Add the flour, and stir constantly with a wooden spoon until the mixture (roux) lightens and foams, about 2 minutes. Whisk in the warm milk, bring to a boil, and cook, whisking constantly, until the souffle base thickens slightly, about 1 minute. Remove the herbs. Transfer the base to a large bowl and whisk to cool. Add the egg yolks, the Parmesan cheese, 1/2 teaspoon of the salt, cayenne, and nutmeg.
Slowly whisk the egg whites in a very clean bowl with lemon juice, and pinch of salt with a hand-held mixer until foamy. Increase the speed to high and whip until the whites hold a soft peak. Quickly, but gently fold 1/4 of the whites into the base with a rubber spatula. Fold in the remaining whites just until streaky, then scatter the grated cheese on top and fold everything together, taking care not to overmix. Divide the batter among the prepared ramekins, and bake until golden, puffed, and just set in the center, about 30 minutes. Using an oven mitt or towel, transfer the ramekins to individual plates and serve immediately.
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