In a saucepan, steam or boil the broccoli just until tender. Drain and set aside.
In a skillet, brown the mushrooms in 30 mL (2 tbsp) olive oil. Remove and set aside.
In the same skillet, fry the pancetta in 15 mL (1 tbsp) olive oil until crispy. Drain on paper towels and set aside.
Preheat oven to 180°C (350°F).
In a saucepan, sweat the onion in the butter, add the flour and cook for 3 minutes, stirring constantly. Do not brown. Whisk in the milk and add the nutmeg and cayenne. Bring to a boil, reduce the heat and cook over medium heat for 10 minutes, stirring occasionally. Add 3/4 of the cheese and stir until it has melted.
Remove the pan from the heat, add the broccoli and mushrooms, and pour the mixture into an ovenproof casserole. Top with the remaining cheese and sprinkle with pancetta bits.