Prepare the sauce: Melt the butter in a pan over medium-high heat. Stir in the flour and cook, stirring continuously, for about a minute until the mixture is pale and the raw flour flavor is gone. Gradually whisk in the milk until the sauce is hot and has thickened, which should take between 3 and 6 minutes. Mix in the provolone, nutmeg, cayenne, and salt, stirring until the cheese is fully melted. Keep this sauce nearby for later.