Coat a saucepan with cooking spray; place over medium-high heat until hot. Add onion; saute 3 minutes or until tender. Gradually stir in milk, and cook 5 minutes (do not boil). Combine cornstarch and water, stirring until smooth; stir into warm milk mixture. Cook, stirring constantly, until slightly thickened. Stir in cheese and salt. Cook, stirring constantly, until thoroughly heated. Remove from heat, and stir in lemon juice and dillweed. Cover and keep warm.
Arrange broccoli in a vegetable steamer over boiling water. Cover and steam 5 minutes or until crisp-tender. Transfer broccoli to a serving dish. Spoon sauce evenly over broccoli. Garnish with lemon zest, if desired.