Stir a few tablespoons of the milk into the cornflour in a small jug; set aside.
Pour the remaining milk into a heavy-based saucepan and add the onion, bay leaf, peppercorns and nutmeg. Bring just to the boil over a moderate heat, then remove from the heat, cover and set aside to infuse for 10 minutes. Strain the flavoured milk and return it to the saucepan.
Whisk a few tablespoons of the warm infused milk into the cornflour mixture, and add this mixture to the saucepan. Bring to the boil, stirring until the sauce thickens, and simmer for 2 minutes.
Taste and add salt and pepper (use white pepper if you prefer to avoid black specks in the sauce). Serve or use immediately.