In a saucepan, make a roux with butter and flour. Add milk. Whisk until sauce thickens. Season with salt, pepper and nutmeg. Add egg yolks. Whisk sauce to boil a few seconds. Cool sauce.
Mix in diced ham and sausage, and grated cheese. Pour into an oiled baking pan so that mixture is 1 inch high. Chill.
Roll cheese mixture into small cylinders. Place on 2 by 4-inch pieces of thinly rolled puff pastry. Seal.
Roll in flour, egg and fine breadcrumbs. Deep fry. Serve with fried parsley.