Melt the butter in a medium saucepan over medium-low heat. Add the chopped shallot and cook, stirring, until translucent, about 2 to 3 minutes.
Add the flour to the shallots and continue to cook while stirring constantly for 2 minutes.
Combine the cream, clam juice or fish stock, and egg yolk in a small bowl and whisk to blend. Whisk into the roux mixture and continue to cook, whisking, until thickened.
Add the thawed, well-drained shrimp and peas to the sauce, and reduce the heat to low. Simmer until the peas are tender, about 3 to 4 minutes longer. Season to taste with a dash of nutmeg and salt and pepper.
Serve shrimp wiggle over toast, rice, or crackers.