Preheat the oven to 350 degrees . In a large skillet, melt the butter over medium. Add the prosciutto and garlic and cook, stirring often, until the prosciutto is crispy, about 5 minutes. Add the Brussels sprouts; cook, stirring often, until wilted, about 5 minutes. Stir in the flour, then gradually stir in the heavy cream, half-and-half and marsala. Reduce the heat to medium-low and simmer until the Brussels sprouts are tender, about 8 minutes. Stir in 1 cup Parmesan and the nutmeg; season with salt and pepper.
Transfer the Brussels sprouts to a 3-quart baking dish and sprinkle with the remaining Parmesan. Bake until the casserole is bubbling and the cheese is browned in spots, about 25 minutes.