Wash and scrub clams well, discard any that are open. Combine water, onion, bay leaf and parsley in a large saucepan. Add clams. Bring to a boil, reduce heat to low and cook 5-10 minutes until clams open. Discard any that aren't open. Remove clams from shells and set aside. Strain broth. Melt butter in heavy saucepan; stir in flour. Add milk; cook, stirring constantly, until sauce thickens. Add strained clam broth and heat through. Beat cream and egg yolk together. Add 2 Tb hot soup to egg yolk mixture. Beat well; then stir yolks into pan with rest of soup. Cook over low heat, stirring constantly, for 3 minutes. Season soup with nutmeg, salt and pepper. Stir in clams; heat for 1-2 minutes. Garnish with parsley and serve immediately.