Melt the butter in a small saucepan over medium heat. Add the onion; cook until soft, about 5 minutes. Add 1/2 cup flour, the cayenne pepper and 1/2 teaspoon salt; cook, stirring with a wooden spoon to make a dry, stiff mixture, about 3 minutes. Gradually whisk in the milk to make a smooth paste. Stir until the batter forms a ball, about 3 more minutes.
Remove from the heat; stir in the ham, cheese and thyme. Spread the mixture evenly into a greased 8-inch square baking pan. Cool, then refrigerate until firm, at least 45 minutes and up to 1 day.
Meanwhile, make the pea sauce: Bring 3 cups water and the garlic to a boil in a saucepan. Add the peas; cook until thawed, 30 seconds. Drain, then transfer the peas and garlic to a blender. Add the broth and lemon zest; puree until smooth. Season with salt and pepper and set aside.
Heat about 3 inches of oil to 340 degrees in a saucepan over medium-high heat. Place the remaining 1/4 cup flour, the eggs and the saltine crumbs in 3 separate shallow dishes. Cut the chilled dough into 20 4-inch-long croquettes. Dredge each in flour, then dip in the eggs, letting the excess drip off, and roll in the saltines.
Fry the croquettes in the oil in batches until golden brown. Drain on a paper-towel-lined plate. Season with salt and serve with the pea sauce.