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1
Preheat the oven to 350F.
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2
With a serrated knife cut off the top fourth of each roll to form a lid and with a fork remove and discard the soft inner portion of the bottom sections, leaving two 1/4- to 1/2-inch-thick shells.
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3
In a heavy saucepan melt the butter over moderately low heat, brush the insides of the bread shells and the lids lightly with about half the butter, and bake the shells and the lids on a baking sheet in the oven for 8 to 10 minutes, or until they are pale golden and crisp.
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4
While the shells are baking, cook the onion in the remaining melted butter over moderately low heat, stirring, until it softened.
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5
Add the flour and cook the roux, stirring, for 2 minutes.
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6
Add the milk in a stream, whisking, and bring the mixture to a boil, whisking.
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7
Add the nutmeg, the zest, and salt and pepper to taste and simmer the sauce, stirring occasionally, for 3 minutes.
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8
While the sauce is simmering, steam the asparagus in a steamer set over boiling water, covered, for 3 to 4 minutes, or until it is crisp-tender.
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9
Divide the asparagus between the bread shells, stir the parsley into the sauce, and spoon the sauce over the asparagus.
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10
Top the asparagus with the lids.
