Cut a 3/4-inch slice from top of each roll; scoop out center, leaving a 1/2-inch shell. Brush inside of each roll with melted butter; bake roll bottoms and tops at 300° for 30 minutes or until rolls are crisp.
Cook asparagus, covered, in a small amount of boiling salted water 6 minutes or until crisp-tender. Drain well; set aside.
Melt 1/4 cup butter in a heavy saucepan over low heat; blend in flour and cook 1 minute, stirring constantly. Gradually add milk; cook over medium heat, stirring constantly, until smooth and thickened. Stir in salt, pepper, and nutmeg. Add cooked asparagus, stirring well. Fill bottom halves of rolls with asparagus mixture; sprinkle with paprika. Cover with tops of rolls.