Melt 10 Tbsp butter in large saucepan over low heat. Whisk in flour; cook and stir until roux smells faintly nutty. Whisk in braising liquid until smooth. Simmer 10 minutes.
Sauté morels in 2 Tbsp butter. Add shallots. Deglaze pan with vermouth until evaporated. Add thickened braising liquid; simmer briefly.
Just before serving, whisk egg yolks until pale yellow. Whisk in part of hot liquid; then gradually whisk yolk mixture into remaining hot liquid. Do not boil. Remove from heat.
Whip cream to soft peaks; fold into sauce. Season with lemon juice, salt, pepper and nutmeg.