In a small pot, melt butter over medium heat. Stir in flour until paste forms. Cook 1 minute, then whisk in milk. Continue stirring until sauce thickens, 5 minutes. Stir in salt, pepper, nutmeg and 1 cup of the gruyere cheese. Set aside.
Slice rolls in half and spread Dijon mustard over each half. Place into baking dish. Top with 2 slices deli ham.
Pour cheese sauce over top and sprinkle with remaining gruyere cheese.