Make a white sauce: Melt the butter in a saucepan, add the flour, and stir with a wire whisk until blended. Bring the milk to a boil and add all at once to the butter-flour mixture, stirring vigorously with the whisk until the sauce is thickened and smooth. Stir in the nutmeg. Keep the sauce hot.
Cook the broccoli in boiling salted water until tender and drain. Arrange broccoli on a deep ovenproof serving platter. Sprinkle lightly with some of the grated cheese. Arrange the turkey meat on the broccoli.
Combine the hollandaise sauce with the white sauce. Add the whipped cream, sherry and Worcestershire sauce. Pour over the turkey and broccoli and sprinkle with the remaining cheese.
Place about five inches below high heat in the broiler and broil until browned and bubbly.