In a saucepan cook the onion in the butter over moderately low heat, stirring, until it is softened, stir in the flour, and cook the roux, stirring, for 3 minutes. Remove the pan from the heat and add the milk, scalded, in a stream, whisking until the mixture is thick and smooth. Simmer the sauce for 10 to 15 minutes, or until it is thickened to the desired consistency. Strain the sauce through a fine sieve into a bowl, add the Gruye, the Parmesan, and salt and pepper to taste, and stir the mixture until the cheeses are melted. Stir in the ham and serve the sauce over asparagus. (Alternatively, arrange the asparagus stalks in 4 to 6 individual gratin dishes, ladle the sauce over them, and broil the gratins under a preheated broiler about 4 inches from the heat until the topping is golden.)