Cook the bacon lardons in a non-stick pan over a medium heat for 5-10 minutes, until crisp and golden. Remove from the pan and set aside.
Add the oil to the pan and cook the onion for 5-10 minutes until soft, then add the butter and let it melt before stirring through the flour. Cook for 2 minutes, before stirring in the milk, a little at a time. Bring to a simmer and cook for 2 minutes before adding half the cheese, the nutmeg and mustard. Season to taste with freshly ground black pepper.
Preheat the oven to 200°C, 180°C fan, gas 6. Meanwhile, bring a pan of water to the boil and cook the cauliflower for 5 minutes, adding in the Brussels sprouts for the last 3 minutes until just tender. Drain and place into the bottom of a 1.5 litre baking dish with the bacon lardons. Pour over the cheese sauce and top with the remaining cheese.
Cook in the oven for 15 minutes, until golden on top and bubbling.