Sauté shallots: Sauté the shallots in a quarter of the butter with a big pinch of salt, freshly ground black pepper, ground nutmeg, and the anchovies until the shallots are translucent. Turn off the heat and leave for 5 minutes before adding the rest of the butter to melt slowly. Let it cool to room temperature.
Blend sauce base: In a blender jug, add the egg yolk, mustard, and capers along with the fresh herbs, lemon juice, and Worcestershire sauce. Blend slowly.
Emulsify with butter: Once the base of the sauce has blended smoothly, start pouring in the cold butter and shallot mixture slowly, as you would when making mayonnaise. If it starts to get too thick, add a little bit of room temperature water. Aim for a sauce with the consistency of slightly thickened cream.