Melt the butter in a large Dutch oven or pot over medium heat. Add the onion and cook until tender, about 5 minutes. Whisk in the flour and cook until golden, 3 to 4 minutes, then gradually whisk in the half-and-half until smooth. Add the chicken broth, bay leaves and nutmeg, then season with salt and pepper and bring to a simmer. Reduce the heat to medium-low and cook, uncovered, until thickened, about 20 minutes.
Meanwhile, prepare the bread bowls: Using a sharp knife, cut a circle into the top of each loaf, leaving a 1-inch border all around. Remove the bread top, then hollow out the middle with a fork or your fingers, leaving a thick bread shell.