In a food processor, pulse the ham, shallot, garlic and herbs to finely chop.
Place chicken in a bowl and season with salt and pepper and nutmeg. Add moistened bread (squeeze out any excess liquid), egg yolks and the ham mixture, and combine. Use a small scoop to portion meat, flatten it out in your hand, place a cheese cube in the center and wrap meat around cheese as you roll the balls.
Arrange a breading station: In three shallow dishes, place flour seasoned with salt and pepper, the eggs, and breadcrumbs combined with herbs, lemon zest and Parm. Working a few meatballs at a time, dredge the meatballs in the seasoned flour, then dip them into the egg before coating them in the breadcrumb mixture. Transfer to a work surface as you finish coating the meatballs.