Preheat the fryer. In a large saute pan, melt the butter. When the butter is melted, add the onions and saute for about 2 minutes, or until translucent and soft. Season with salt and pepper. Stir in the flour to make a roux. Cook for about 1 minute and remove from the heat. Whisk in the milk to form a smooth sauce. Return to medium heat and cook until the sauce is thick and creamy. Season with salt, pepper, nutmeg, parsley and sherry. Stir in the ham. Mix well and cook for 4 to 5 minutes on low heat. Pour the mixture into an 8 by 8 1/2-inch baking pan and cool in the refrigerator so that the mixture will be easy to handle. Refrigerate for 2 to 3 hours or until well chilled.
In a small mixing bowl, beat the eggs with water until frothy and pour into a medium bowl. Combine the bread crumbs and flour in a second bowl. Season the mixture with salt and pepper. Using your hands, shape the ham mixture into a log about 3/4-inch thick. Using a knife, cut the logs into 1 1/2-inch thick. Dip the logs in the egg wash, letting the excess drip off. Roll the logs in the seasoned bread crumbs. Place the logs on a baking sheet and cover with plastic wrap. Refrigerate the logs for 2 to 3 hours. Fry the croquettes in the hot oil, a few at a time, until golden brown, about 3 to 4 minutes. Remove the croquettes from the oil and drain on a paper-lined plate. Season the croquettes with salt and pepper. Serve the croquettes with fresh lemon juice and garnish with parsley.