Preheat your oven to 400°F and line a baking sheet with parchment paper. In a medium saucepan over medium heat, melt the butter. Add garlic and nutmeg, cooking until softened and fragrant, about 1 to 2 minutes. Pour in the cream and bring it to a simmer.
In a small bowl, whisk together cornstarch with 1 tablespoon of water. Add this mixture to the cream and cook until thickened, stirring constantly. Reduce the heat to medium-low and whisk in Parmesan until melted, about 3 minutes. Season with kosher salt and let it cool for 10 minutes.
On a clean surface, roll out the puff pastry to a 12-by-12-inch square. Cut the pastry into 9 squares, each 4-by-4 inches.
In a small bowl, beat the egg with a splash of water. Brush the outer edges of the pastry squares with the egg wash. Spoon the cooled sauce into the center of each square. Arrange 3 asparagus stalks diagonally across each square. Sprinkle with mozzarella.
Fold the right side of the pastry over onto the left. Brush the flap with egg wash, then fold the left side over onto the right to create a bundle. Brush each bundle with more egg wash and season with sea salt and pepper.
Bake the bundles until they're golden brown, about 30 to 32 minutes. Let them cool slightly, then sprinkle with parsley and lemon zest (if using). Enjoy your savory bundles of joy!