Melt the butter in a small saucepan over a low-medium heat, then toss in the shallot and bay leaf. Fry gently until the shallot is just soft, which should take about 5 minutes.
Sprinkle in the flour and stir in well, cooking for 3-4 minutes. Slowly pour in the milk, stirring all the time so there are no lumps. When smooth, simmer for a few minutes to thicken, then take off the heat and stir in the mustard and nutmeg. Discard the bay leaf and season with salt and pepper.
Turn the oven on to 200°C and line a baking tray with foil. Next, heat the grill, butter the bread on one side and toast it buttered-side up until golden.
Put 2 bread slices, toasted-side down, in the baking tray and spread all the untoasted sides of the bread with mustard. Spread some of the béchamel on the slices in the tray, then lay on the ham and sprinkle on some cheese.
Put another toast slice on top of each, mustard-side down, spread on some more béchamel and cheese. Bake until the toasts are golden brown and bubbling. Slice in half, diagonally, and serve.