Place the onion quarters on a baking sheet coated with cooking spray; lightly coat onion quarters with cooking spray.
Remove white papery skin from garlic head (do not peel or separate cloves). Place garlic on a piece of aluminum foil. Drizzle with water; wrap in foil. Place wrapped garlic on baking sheet with onion quarters. Bake for 1 hour or until onion quarters are soft and lightly browned, turning after 30 minutes. Cool.
Place onion in a large saucepan. Unwrap garlic; separate cloves and squeeze to extract pulp into pan. Discard garlic skins. Add saffron (if desired), broth, and bay leaf to pan. Bring to a simmer over medium heat. Stir in 3 tablespoons sherry, pepper, and salt. Reduce heat; simmer 15 minutes. Discard bay leaf.
Place half of the onion mixture in a blender or food processor; process until smooth. Pour pureed mixture into a large bowl; repeat procedure with remaining onion mixture. Return onion mixture to pan; cook over low heat until thoroughly heated. Stir in 1 tablespoon sherry and juice.
Ladle 1 cup soup into each of 4 bowls; top each serving with 2 tablespoons cheese. Sprinkle with parsley, if desired.