Preheat your oven to 375 degrees Fahrenheit.
In a large oven-safe skillet (cast iron is best) over medium heat, cook the bacon just until barely crisp. Remove the bacon to a plate.
Remove the bacon fat from the pan and reserve it in a bowl.
If using fresh Brussels sprouts, slice them in half and parboil them in some water for about 3 minutes or until bright green and just barely soft. If using frozen Brussels sprouts, let them thaw in the fridge overnight or run them under some hot water to thaw completely before using. If possible, slice them in half.
Add the butter to the pan and when it's bubbly, add the flour and whisk to combine.
Toast the flour and butter mixture for about 1 minute, stirring constantly, and add the wine.
Whisk the flour mixture and wine together until combined (about 1 minute) and then slowly add the milk about 2 tablespoons at a time, whisking constantly.
Continue whisking and turn the heat to medium low as the mixture bubbles.
Add the cheeses one at a time and continue whisking as they melt into the sauce.
Add the nutmeg and salt and pepper (to taste).
Add the Brussels sprouts and stir well to combine.
Crumble the bacon and stir it in too. Turn off the heat under the pan and smooth out the top of the mixture.
In a bowl, combine the panko breadcrumbs with about 2 tablespoons of the warm (liquid) bacon fat. Sprinkle the breadcrumb mixture over the top of the creamy Brussels Sprouts mixture to form a crust.
Bake for about 25-30 minutes at 375 degrees Fahrenheit or until the sauce is bubbly and the crust is golden brown.