Braise the onion in a saucepan. Add garlic and thyme. Sweat briefly. Add the polenta and deglaze with the hot broth. Bring to the boil and simmer for 3 minutes, stirring constantly. Turn off the stove and let the polenta soak with the lid closed.
Stir the egg yolks into the polenta. Beat egg whites into snow and fold in. Season to taste with salt, pepper and nutmeg.
Grease the muffin pan well or place paper liners in hollows. Pour in the polenta, sprinkle with grated Parmesan and diced ham in the oven.
You can also prepare the whole thing in the smoker.