Melt the butter in a medium soup pot over medium heat. Whisk in the flour and cook until it turns a light-tan color, 2 to 3 minutes. Gradually whisk in the milk and half-and-half until the mixture is smooth.
Grate the onion half on the fine holes of a box grater over a strainer balanced on a measuring cup. Continue grating until you get ¼ cup of juice in the measure. Discard the grated onion pulp. Add the onion juice, hot pepper sauce, Worcestershire, paprika, lemon zest, salt, and nutmeg (if using) to the soup pot, and whisk until combined. Bring the mixture to a simmer on medium, and then reduce the heat to low and simmer for 5 minutes.
Stir in the crabmeat, crab roe (if using), and sherry. Cook over low heat for 2 minutes. Remove the lemon zest and divide the soup among warm bowls. Garnish with the chives.
Tip: Can’t get fresh crabmeat? Substitute it with pasteurized jumbo lump crabmeat from your grocer’s refrigerated seafood case.