Peel asparagus with a vegetable peeler from top to bottom, starting below the tips. Cut off any woody ends.
Place asparagus in a large, wide pan; pour in enough lightly salted water to just cover. Bring to a boil; reduce heat and simmer gently until spears are tender and can be easily pierced with a sharp knife, 15 to 25 minutes depending on the thickness. Drain well.
Pour hazelnuts into a dry skillet; cook and stir over medium heat until fragrant, about 2 minutes. Remove from heat.
Melt butter in a saucepan over medium heat. Stir in flour until a paste forms, about 2 minutes. Add hot vegetable stock and hot milk a little a time, whisking continuously until sauce is thick and smooth, about 4 minutes.
Stir hazelnuts, lemon juice, sugar, and nutmeg into the sauce. Season with salt and white pepper. Simmer gently over low heat, stirring frequently, for 5 minutes.
Whisk heavy cream and egg yolk together in a small bowl until smooth; whisk into the sauce. Simmer until heated through, but not boiling, about 2 minutes. Serve the sauce with the cooked asparagus.