Cook the onion: In a medium saute pan, combine the butter and onions with 2 tablespoons water and a generous pinch of salt over medium-low heat. Cook, stirring occasionally, until tender, 8 to 10 minutes. (There should be little liquid in the pan and the onion should not be browned.)
Make the cream base: In a saucepan, add the cream and warm over medium heat. Allow the cream to come to a boil and reduce slightly, 2 to 3 minutes. Add the Gruyere and Parmesan and let melt a little. Add the Worcestershire, nutmeg, lemon zest and salt and pepper to taste. Whisk the ingredients together in the pan and let it cook until the cream thickens, 2 to 3 minutes.
Pour the cream base over the onions and bring to a simmer. Remove from the heat, then stir and let the mixture rest for 2 to 3 minutes. Taste for seasoning.
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