While the biscuits are baking in a large skillet cook the sausage on medium-high heat until outsides are brown. Add the shallots, oil, nutmeg, salt, and pepper. Once the shallots start turning clear add the flour. Continue to cook for 2-3 minutes.
Add the milk and Worcestershire sauce. Reduce the heat to medium low and continue to stir until the gravy reaches the desired thickness.
Remove the biscuits from the oven, and pour the gravy on top.