Mix ricotta, spinach, parmesan, flour, panko, salt, pepper, nutmeg, and egg yolks. Form into small balls.
Test one first. Place in boiling water and cook 2 minutes. Shock in ice water. Test for consistency and add more flour and/or panko if needed. Boil rest of balls 2 minutes and shock in ice water.
Caramelize shallots in olive oil until brown on one side, reduce heat and cook 5 minutes until soft. Saute mushrooms with shallots until tender, about 4 minutes. Season with salt and chili and cook another 3 minutes. Add reserved mushroom water and cook 15 minutes.
Puree in blender until smooth. Add more water if needed. Add olive oil to make smooth. Strain.
To heat for serving, warm sauce and reheat gnudi in salted water and melted butter.
Serve with gnudi on top of sauce, with parmesan cheese.