Pierce the casings of the bockwurst and arrange the sausages in a medium-size skillet. Add 1 inch of water, bring it to a simmer over medium heat. Keep simmering until the water completely evaporates, about 10 minutes. Add EVOO and continue to cook to let the skin crisp up.
Add the butter and shallots to a medium-size saucepot over medium-high heat. Sauté until soft and translucent. Add the flour and cook for about 2 minutes, then add stock and bring to a boil. Reduce the stock until it thickens, then add the cream, nutmeg and mustard. Cook for 2 minutes more and season with salt and pepper. Turn the heat off, and cover to keep the sauce warm while you prepare the broccolini.